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Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...
The author uses extreme value theory to study time-varying idiosyncratic tail risk for a large panel of US stocks. The author demonstrates a significant performance gain by using forward-looking information extracted from implied volatilities and nonlinear ...
