Time-varying tails and the tail risk premium

Economic Modelling 2026

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Authors: xiaorui gu, Shuo Li, Liuhua Peng, Xiaojun Song
DOI: 10.1016/j.econmod.2026.107551
Cited by: 1
References: 14

Fields of Study & Subjects

Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

Publication details

Journal / source
Economic Modelling
Publisher
Elsevier BV
Volume
158
Pages
107551–107551
Publication date
19 February 2026
Language
EN