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Safety-first and extreme value bilateral U.S.-Mexican portfolio optimization around the peso crisis and NAFTA in 1994

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  • Haque, Mahfuzul
  • Varela, Oscar
  • Hassan, M. Kabir

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  • Haque, Mahfuzul & Varela, Oscar & Hassan, M. Kabir, 2007. "Safety-first and extreme value bilateral U.S.-Mexican portfolio optimization around the peso crisis and NAFTA in 1994," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 449-469, July.
    • Handle: RePEc:eee:quaeco:v:47:y:2007:i:3:p:449-469
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    1. Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management," Center for Financial Institutions Working Papers 98-10, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
    3. Gerard Caprio & Anthony Saunders & Berry Wilson, 2000. "Financial fragility and Mexico's 1994 peso crisis: an event-window analysis of market-valuation effects," Proceedings, Federal Reserve Bank of Cleveland, pages 450-473.
    4. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
    5. Gencay, Ramazan & Selcuk, Faruk, 2004. "Extreme value theory and Value-at-Risk: Relative performance in emerging markets," International Journal of Forecasting, Elsevier, vol. 20(2), pages 287-303.
    6. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71(5), pages 421-421.
    7. Osman Kilic & David Tufte & M. Hassan, 1999. "The 1994–1995 Mexican Currency Crisis and U.S. Bank Stock Returns," Journal of Financial Services Research, Springer;Western Finance Association, vol. 16(1), pages 47-60, September.
    8. Ike Mathur & Kimberly C. Gleason & Selahattin Dibooglu & Manohar Singh, 2002. "Contagion Effects from the 1994 Mexican Peso Crisis: Evidence from Chilean Stocks," The Financial Review, Eastern Finance Association, vol. 37(1), pages 17-33, February.
    9. Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G., 2000. "Portfolio selection with limited downside risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 247-269, November.
    10. Kilic, Osman & Hassan, M. Kabir & Tufte, David, 2000. "Market efficiency, the Mexican peso crisis, and the US bank stock returns: An application of the event parameter method," Global Finance Journal, Elsevier, vol. 11(1-2), pages 73-86.
    11. Arzac, Enrique R. & Bawa, Vijay S., 1977. "Portfolio choice and equilibrium in capital markets with safety-first investors," Journal of Financial Economics, Elsevier, vol. 4(3), pages 277-288, May.
    12. Gruben, William C & Welch, John H, 1996. "Default Risk and Dollarization in Mexico," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(3), pages 393-401, August.
    13. Gencay, Ramazan & Selcuk, Faruk & Ulugulyagci, Abdurrahman, 2003. "High volatility, thick tails and extreme value theory in value-at-risk estimation," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 337-356, October.
    14. Evis Këllezi & Manfred Gilli, 2000. "Extreme Value Theory for Tail-Related Risk Measures," FAME Research Paper Series rp18, International Center for Financial Asset Management and Engineering.
    15. Francis X. Diebold & Til Schuermann & John D. Stroughair, 2000. "Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 1(2), pages 30-35, January.
    16. Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February.
    17. Haque, Mahfuzul & Kabir Hassan, M. & Varela, Oscar, 2004. "Safety-first portfolio optimization for US investors in emerging global, Asian and Latin American markets," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 91-116, January.
    18. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    19. Bera, Anil K. & Jarque, Carlos M., 1981. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals : Monte Carlo Evidence," Economics Letters, Elsevier, vol. 7(4), pages 313-318.
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    Cited by:

    1. Mahfuzul Haque & Oscar Varela, 2010. "US-Thailand Bilateral Safety-first Portfolio Optimisation around the 1997 Asian Financial Crisis," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(2), pages 171-197, August.

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