The authors show that it is possible to reduce tail risk without giving up much return. The key
is to forecast forward-looking skewness, which will facilitate the identification of a sweet spot …

Hedging downside risk before substantial price corrections is vital for risk management and
long-only active equity manager performance. This study proposes a novel methodology for …

Stock bubbles are characterized by unpredictable price surges and subsequent declines,
causing significant losses for investors. This study investigates the effectiveness of the …

Surprisingly to many investors, low volatility tends to be accompanied with an undesirable
risk characteristic: lower or negative skewness. A stock or fund can rank well based on the …

Daily values of the stock market index S&P 500 are considered as a coordinate of an
oscillating particle in discrete time. These driven nonlinear oscillations are occasionally …

This paper sets out to test the predictability of stock market bubbles and bursts. To achieve
this objective, the paper employed monthly data on the Nigerian Stock Exchange (NSE) All …

Stock bubbles and crashes have received much attention from economists and traders alike
for decades. Accurate forecasting of bubbles and crashes is central to the management of …

For a long-only active equity manager (or investor), the ability to hedge the downside risk
before a significant price correction is a valuable skill. The authors proposed constructing a …

Purpose: Macroeconomic research rarely analyzes the short-run relationship between stock
market indices and GDP. The study seeks to answer how close the two indicators are in the …

This paper proposes a general model for synchronized crowding behavior. An order
parameter is introduced to quantify the level of synchronization which is shown a function of …