Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness
提出一个时变峰值超过阈值模型研究美国股票组合的尾部风险动态，发现大公司尾部风险在经济衰退时上升更多，并量化其对经济的影响，同时提出尾部关联性指标显示国际股市在动荡期关联性增强。
We propose a new time-varying peaks over threshold model to study tail risk dynamics in equity markets: the laws of motion for the parameters are defined through the score-based approach. We apply the model to daily returns from U.S. size-sorted decile stock portfolios and show that large firms’ tail risk increases during recessions more than small firms’ tail risk. Our results are consistent with the granular hypothesis of aggregate fluctuations, and we quantify the impact of large firms’ tail risk shocks on the economy. A measure of tail connectedness is proposed: evidence from international equity markets shows that tail connectedness increases during periods of turmoil. This paper was accepted by Lauren Cohen, finance.