Before revision:  Nesting the traditional frameworks, the new representation explainstail -specific as well as horizon-, or frequency-specificspectral risks. Further, we work with two notions of frequency-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market and asset returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market volatility and extremely low asset return.
After revision:  Nesting the traditional frameworks, the new representation explainstail -specific as well as horizon-, or frequency-specificspectral heterogeneously across horizons. Specifically, we find that tail risk is a short-term phenomenon whereas extreme volatility risk is characterized by dependence between extremely high increments of market volatility and extremely low asset return.