Time-Varying Tails and the Tail Risk Premium

Name: Time-Varying Tails and the Tail Risk Premium
Creator: Xiaorui Gu
Published: 2026-02-02T19:56:31.713Z
Keywords: Empirical Finance

Gu, Xiaorui; Li, Shuo; Peng, Liuhua; Song, Xiaojun

doi:10.17632/x2s2827fsp.1

Time-Varying Tails and the Tail Risk Premium

Published: 2 February 2026| Version 1 | DOI: 10.17632/x2s2827fsp.1

Contributors:

Xiaorui Gu, Shuo Li, Liuhua Peng, Xiaojun Song

Description

This replication package provides all data, code, and instructions required to reproduce the empirical results presented in the paper “Time-Varying Tails and the Tail Risk Premium”.

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Institutions

Tianjin University of Finance and Economics
Tianjin
The University of Melbourne
VIC, Melbourne
Peking University
Beijing, Beijing

Time-Varying Tails and the Tail Risk Premium

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