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May 30, 2024 -
Replication Data for: Fitfluencers or plus-size influencers
Tab-Delimited - 67.3 KB - MD5: af32b9ff1ee5e5765d1e8c51ef1e366f
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May 15, 2024
This paper addresses the inherent procyclicality in widely adopted financial risk measures, such as expected shortfall (ES). We propose an innovative approach utilizing the worst-case higher moment (HM) risk measure, which offers a robust solution to distributional shifts by inco... |