Long-term asset tail risks in developed and emerging markets
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DOI: 10.1016/j.jbankfin.2012.09.022
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Citations
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Cited by:
- Aboura, Sofiane & Chevallier, Julien, 2014.
"Cross-market spillovers with ‘volatility surprise’,"
Review of Financial Economics, Elsevier, vol. 23(4), pages 194-207.
- Sofiane Aboura & Julien Chevallier, 2014. "Cross‐market spillovers with ‘volatility surprise’," Review of Financial Economics, John Wiley & Sons, vol. 23(4), pages 194-207, November.
- Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Post-Print hal-01529770, HAL.
- Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris Nanterre, EconomiX.
- Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Working Papers halshs-01052488, HAL.
- Christiansen, Charlotte, 2014.
"Classifying returns as extreme: European stock and bond markets,"
International Review of Financial Analysis, Elsevier, vol. 34(C), pages 1-4.
- Charlotte Christiansen, 2013. "Classifying Returns as Extreme: European Stock and Bond Markets," CREATES Research Papers 2013-37, Department of Economics and Business Economics, Aarhus University.
- Fendel, Ralf & Neumann, Christian, 2021. "Tail risk in the European sovereign bond market during the financial crises: Detecting the influence of the European Central Bank," Global Finance Journal, Elsevier, vol. 50(C).
- Qin, Yiyi & Cai, Jun & Wang, James J.D. & Webb, Robert I., 2023. "Gold-mining stocks, risk factors, and tail patterns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
- Bertrand Groslambert & Devraj Basu & Wan Ni Lai, 2019. "Is tail risk the missing link between institutions and risk?," Economics Bulletin, AccessEcon, vol. 39(2), pages 1435-1448.
- Aboura, Sofiane & Chevallier, Julien, 2014.
"Volatility equicorrelation: A cross-market perspective,"
Economics Letters, Elsevier, vol. 122(2), pages 289-295.
- Julien Chevallier & Sofiane Aboura, 2014. "Volatility equicorrelation: A cross-market perspective," Post-Print hal-01531237, HAL.
- Aboura, Sofiane & Chevallier, Julien, 2015.
"Volatility returns with vengeance: Financial markets vs. commodities,"
Research in International Business and Finance, Elsevier, vol. 33(C), pages 334-354.
- Sofiane Aboura & Julien Chevallier, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Post-Print hal-01529747, HAL.
- repec:dau:papers:123456789/13359 is not listed on IDEAS
- Tolikas, Konstantinos, 2014. "Unexpected tails in risk measurement: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 476-493.
- Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," Working Papers hal-04141310, HAL.
- repec:ipg:wpaper:2014-469 is not listed on IDEAS
- Oh, Sekyung & Kee, Hyukdo & Park, Kinam, 2019. "Tail risk under price limits," Economic Modelling, Elsevier, vol. 77(C), pages 113-123.
- Riedel, Christoph & Wagner, Niklas, 2015. "Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 53-64.
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More about this item
Keywords
Tail index; Extreme value analysis; Endogenous stability test; Finite sample properties; Bootstrap;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G19 - Financial Economics - - General Financial Markets - - - Other
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
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