Dynamic power-law model for tail risk: Evidence from the Finnish stock market
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School of Business |
Master's thesis
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Authors
Date
2018
Department
Major/Subject
Mcode
Degree programme
Finance
Language
en
Pages
54 + 1
Series
Description
Thesis advisor
Torstila, SamiKeywords
asset pricing, tail risk, power-law, equity premium, return distribution, risk-adjustment, extreme events