Published in Revise & Resubmit in Review of Finance, 2023
We identify a new type of risk that is characterised by commonalities in the quantiles of the cross-sectional distribution of asset returns.
Recommended citation: Barunik, J., Nevrla, M. (2023). "Common Idiosyncratic Quantile Risk" Revise & Resubmit in Review of Finance. TBA. https://arxiv.org/abs/2208.14267
Published in Revise & Resubmit in Review of Finance, 2023
We identify a new type of risk that is characterised by commonalities in the quantiles of the cross-sectional distribution of asset returns.
Recommended citation: Barunik, J., Nevrla, M. (2023). "Common Idiosyncratic Quantile Risk" Revise & Resubmit in Review of Finance. TBA. https://arxiv.org/abs/2208.14267
Published in Journal of Financial Econometrics, 2022
This article investigates how two important sources of risk—market tail risk (TR) and extreme market volatility risk—are priced into the cross-section of asset returns across various investment horizons.
Recommended citation: Barunik, J., Nevrla, M. (2022). "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices" Journal of Financial Econometrics. Forthcoming. https://doi.org/10.1093/jjfinec/nbac017