Title:

Predicting the Equity Risk Premium Using the Smooth Cross-Sectional Tail Risk: The Importance of Correlation

Author:

José Afonso Faias (U Católica Portuguesa)

Journal:

Journal Of Financial Markets

Year:

2023

Volume:

63

JEL code:

C58 - Financial Econometrics

DOI:

10.1016/j.finmar.2022.100769