LeftTail Risk Predicts Stock Volatility
The paper shows that stock crash risk can significantly predict future volatility of the SP 500 index, providing unique predictive insights separate from macroeconomic variables.
Featured in No. 80 on 1 Jan 2025 · 1 day after release
- Released
- 31 Dec 2024
- First featured
- No. 80 · 1 Jan 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 5078170
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