Conceptio › Archive › arXiv (All)
arXiv (All) open access

Return-Decay Residuals and Tail-Risk Forecasting: Timing Artifacts, Conditional Inference, and Cross-Market Evidence

Lee, Chorok
arXiv (All) · Papers
Open Source ↗Direct PDF ↓
portfolio-management
Can residuals from fitted return-decay curves predict future factor tail losses, and do they measure crowding? We distinguish economic edge, overlapping performance statistics, and predictive evidence. A Gaussian counterexample produces a same-month crash-risk ratio of 1.61 without predictable futur
Conceptio Open Archive

Analyze & explore related research in Conceptio

Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.

This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗

Related documents

Record · ID 1116177
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive