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Measuring Tail Risks at High Frequency
Brian Matthew Weller
Finance
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Working paper
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Dive into the research topics of 'Measuring Tail Risks at High Frequency'. Together they form a unique fingerprint.
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Economics, Econometrics and Finance
Financial Crisis
100%
Capital Market Returns
100%
Bid-Ask Spread
100%
Trading Volume
100%
Price
100%
Time Series
100%
Keyphrases
Tail Risk
100%
Market Risk
40%
Financial Crisis
20%
Risk Information
20%
Asset Value
20%
Flash Crash
20%
Stock Returns
20%
Bid-ask Spread
20%
Factor Loadings
20%
Cross-sectional Regression
20%
Trading Volume
20%
Arbitrageurs
20%
Federal Open Market Committee
20%
Price Movement
20%
Market Maker
20%
Jump Risk
20%
Factor beta
20%
Liquidity Cost
20%
Engineering
Risk Information
100%
Cross Section
100%
Beta Factor
100%