Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices

@article{Barunk2018QuantileSB,
  title={Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices},
  author={Jozef Barun{\'i}k and Matvej Nevrla},
  journal={Risk Management & Analysis in Financial Institutions eJournal},
  year={2018}
}
  • Jozef Baruník, Matvej Nevrla
  • Published 2018
  • Economics
  • Risk Management & Analysis in Financial Institutions eJournal
  • We examine how extreme market risks are priced in the cross-section of asset returns at various horizons. Based on the decomposition of covariance between indicator functions capturing fluctuations of different parts of return distributions over various frequencies, we define a \textit{quantile spectral} beta representation that characterizes asset's risk generally. Nesting the traditional frameworks, the new representation explains \textit{tail}-specific as well as horizon-, or frequency… CONTINUE READING

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