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Universidade Nova

1. Gastel, Suzan. Time-vaeying tail risk in the financial sector.

Degree: 2018, Universidade Nova

This paper investigates the usefulness of time-varying tail risk in the financial sector. The findings of this paper support the notion that financial sector time-varying tail risk possesses predictive power over future market returns over a horizon of one-month, one-year, three-years and five-years and some predictive power over future financial crises. Within the financial sector there are four industries recognized; the banking, insurance, broker dealer and other industry. These industries all have a different level of systemic risk and thus pose different risks to the financial sector and in term to the real economy. Advisors/Committee Members: Pereira, João Pedro.

Subjects/Keywords: Fat tails; Time-varying; Financial sector; Hill alpha; Predictor; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Gastel, S. (2018). Time-vaeying tail risk in the financial sector. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/36555

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Gastel, Suzan. “Time-vaeying tail risk in the financial sector.” 2018. Thesis, Universidade Nova. Accessed December 13, 2019. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/36555.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Gastel, Suzan. “Time-vaeying tail risk in the financial sector.” 2018. Web. 13 Dec 2019.

Vancouver:

Gastel S. Time-vaeying tail risk in the financial sector. [Internet] [Thesis]. Universidade Nova; 2018. [cited 2019 Dec 13]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/36555.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Gastel S. Time-vaeying tail risk in the financial sector. [Thesis]. Universidade Nova; 2018. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/36555

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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