{"id":"https://openalex.org/W3049746121","doi":"https://doi.org/10.1016/j.frl.2020.101727","title":"Do economic news releases affect tail risk? Evidence from an emerging market","display_name":"Do economic news releases affect tail risk? Evidence from an emerging market","publication_year":2020,"publication_date":"2020-08-16","ids":{"openalex":"https://openalex.org/W3049746121","doi":"https://doi.org/10.1016/j.frl.2020.101727","mag":"3049746121"},"language":"en","primary_location":{"id":"doi:10.1016/j.frl.2020.101727","doi":"https://doi.org/10.1016/j.frl.2020.101727","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.frl.2020.101727","pdf_url":null,"source":{"id":"https://openalex.org/S88577320","display_name":"Finance research letters","issn_l":"1544-6123","issn":["1544-6123","1544-6131"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance Research Letters","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5049916286","display_name":"\u039a\u03c9\u03bd\u03c3\u03c4\u03b1\u03bd\u03c4\u03af\u03bd\u03bf\u03c2 \u0393\u03ba\u03af\u03bb\u03bb\u03b1\u03c2","orcid":"https://orcid.org/0000-0001-8790-080X","observed_orcids":["https://orcid.org/0000-0001-8790-080X"]},"institutions":[{"id":"https://openalex.org/I174878644","display_name":"University of Patras","ror":"https://ror.org/017wvtq80","country_code":"GR","type":"education","lineage":["https://openalex.org/I174878644"]}],"countries":["GR"],"is_corresponding":true,"raw_author_name":"Konstantinos Gkillas","raw_affiliation_strings":["Department of Business Administration, University of Patras, University Campus \u2013 Rio, P.O. Box 1391, Patras 26500, Greece"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Business Administration, University of Patras, University Campus \u2013 Rio, P.O. Box 1391, Patras 26500, Greece","institution_ids":["https://openalex.org/I174878644"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5090849205","display_name":"Christoforos Konstantatos","orcid":"https://orcid.org/0000-0002-3312-0186","observed_orcids":["https://orcid.org/0000-0002-3312-0186"]},"institutions":[{"id":"https://openalex.org/I174878644","display_name":"University of Patras","ror":"https://ror.org/017wvtq80","country_code":"GR","type":"education","lineage":["https://openalex.org/I174878644"]}],"countries":["GR"],"is_corresponding":false,"raw_author_name":"Christoforos Konstantatos","raw_affiliation_strings":["Department of Business Administration, University of Patras, University Campus \u2013 Rio, P.O. Box 1391, Patras 26500, Greece"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Business Administration, University of Patras, University Campus \u2013 Rio, P.O. Box 1391, Patras 26500, Greece","institution_ids":["https://openalex.org/I174878644"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5065993192","display_name":"Athanasios G. Tsagkanos","orcid":"https://orcid.org/0000-0002-0609-7312","observed_orcids":["https://orcid.org/0000-0002-0609-7312"]},"institutions":[{"id":"https://openalex.org/I174878644","display_name":"University of Patras","ror":"https://ror.org/017wvtq80","country_code":"GR","type":"education","lineage":["https://openalex.org/I174878644"]}],"countries":["GR"],"is_corresponding":false,"raw_author_name":"Athanasios Tsagkanos","raw_affiliation_strings":["Department of Business Administration, University of Patras, University Campus \u2013 Rio, P.O. Box 1391, Patras 26500, Greece"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Business Administration, University of Patras, University Campus \u2013 Rio, P.O. Box 1391, Patras 26500, Greece","institution_ids":["https://openalex.org/I174878644"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5010526989","display_name":"Costas Siriopoulos","orcid":"https://orcid.org/0000-0003-1368-7182","observed_orcids":["https://orcid.org/0000-0003-1368-7182"]},"institutions":[{"id":"https://openalex.org/I91044093","display_name":"Zayed University","ror":"https://ror.org/03snqfa66","country_code":"AE","type":"education","lineage":["https://openalex.org/I91044093"]}],"countries":["AE"],"is_corresponding":false,"raw_author_name":"Costas Siriopoulos","raw_affiliation_strings":["College of Business, Zayed University, P.O. Box 144534, Abu Dhabi, UAE"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Business, Zayed University, P.O. Box 144534, Abu Dhabi, UAE","institution_ids":["https://openalex.org/I91044093"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5049916286"],"corresponding_institution_ids":["https://openalex.org/I174878644"],"apc_list":{"value":1250,"currency":"USD","value_usd":1250},"apc_paid":null,"fwci":3.3726,"has_fulltext":false,"cited_by_count":18,"citation_normalized_percentile":{"value":0.92729231,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":98},"biblio":{"volume":"40","issue":null,"first_page":"101727","last_page":"101727"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9688000082969666,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9688000082969666,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.024299999698996544,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.002300000051036477,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/tail-risk","display_name":"tail risk","score":0.996999979019165},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.7620000243186951},{"id":"https://openalex.org/keywords/emerging-markets","display_name":"emerging markets","score":0.7689999938011169},{"id":"https://openalex.org/keywords/stock-market","display_name":"stock market","score":0.5649999976158142},{"id":"https://openalex.org/keywords/foreign-exchange-market","display_name":"foreign exchange market","score":0.9860000014305115},{"id":"https://openalex.org/keywords/government-bonds","display_name":"government bonds","score":0.9919999837875366},{"id":"https://openalex.org/keywords/corporate-bonds","display_name":"corporate bonds","score":0.9100000262260437},{"id":"https://openalex.org/keywords/conditional-autoregressive-value-at-risk","display_name":"conditional autoregressive value at risk","score":0.8019999861717224}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6587862968444824},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.6355352997779846},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.6090578436851501},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.5824330449104309},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.5356478691101074},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5155934691429138},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4939165711402893},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.47590526938438416},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.459547221660614},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.45705270767211914},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.4451069235801697},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.4430955946445465},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.410930335521698},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.2392708659172058},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.16573983430862427},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.1564844250679016},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.frl.2020.101727","doi":"https://doi.org/10.1016/j.frl.2020.101727","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.frl.2020.101727","pdf_url":null,"source":{"id":"https://openalex.org/S88577320","display_name":"Finance research letters","issn_l":"1544-6123","issn":["1544-6123","1544-6131"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance Research Letters","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030297x","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S154461232030297X","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":46,"referenced_works":["https://openalex.org/W268225481","https://openalex.org/W1496950389","https://openalex.org/W1840920516","https://openalex.org/W1971349115","https://openalex.org/W1985893408","https://openalex.org/W1992109042","https://openalex.org/W2001340398","https://openalex.org/W2003356861","https://openalex.org/W2036760811","https://openalex.org/W2038699529","https://openalex.org/W2040315127","https://openalex.org/W2046055441","https://openalex.org/W2057157111","https://openalex.org/W2058479869","https://openalex.org/W2063986048","https://openalex.org/W2095617175","https://openalex.org/W2096669492","https://openalex.org/W2105332353","https://openalex.org/W2106988883","https://openalex.org/W2109235622","https://openalex.org/W2131603693","https://openalex.org/W2141440507","https://openalex.org/W2150747312","https://openalex.org/W2158242805","https://openalex.org/W2168718710","https://openalex.org/W2261558790","https://openalex.org/W2412175938","https://openalex.org/W2801420790","https://openalex.org/W2883003251","https://openalex.org/W2906400502","https://openalex.org/W2908361776","https://openalex.org/W2937869167","https://openalex.org/W3037410099","https://openalex.org/W3121339027","https://openalex.org/W3123216131","https://openalex.org/W3123647737","https://openalex.org/W3123810514","https://openalex.org/W3124049593","https://openalex.org/W3124051603","https://openalex.org/W3124652039","https://openalex.org/W3124947744","https://openalex.org/W3125437999","https://openalex.org/W4241515853","https://openalex.org/W4241653265","https://openalex.org/W4255744865","https://openalex.org/W6779981102"],"related_works":["https://openalex.org/W3189254631","https://openalex.org/W4409882732","https://openalex.org/W4400429711","https://openalex.org/W3138229310","https://openalex.org/W7163293854","https://openalex.org/W7080189803","https://openalex.org/W3125149121","https://openalex.org/W1578662363","https://openalex.org/W3124049593","https://openalex.org/W3157349317"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":8}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2020-08-21T00:00:00"}