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Capturing downside risk in financial markets: the case of the Asian Crisis

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Cited by:

  1. Lawrence W C Lai & Kwong Wing Chau & Daniel C W Ho & Veronica Y Y Lin, 2006. "Impact of Political Incidents, Financial Crises, and Severe Acute Respiratory Syndrome on Hong Kong Property Buyers," Environment and Planning B, , vol. 33(3), pages 413-433, June.
  2. Cotter, John, 2007. "Varying the VaR for unconditional and conditional environments," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1338-1354, December.
  3. Wolff, Christian & Lehnert, Thorsten, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers.
  4. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
  5. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  6. Londono, Juan M., 2019. "Bad bad contagion," Journal of Banking & Finance, Elsevier, vol. 108(C).
  7. Lehnert, Thorsten & Wolff, Christian C. P., 2004. "Scale-consistent Value-at-Risk," Finance Research Letters, Elsevier, vol. 1(2), pages 127-134, June.
  8. X. H. Wang & Carmen Menezes, 2002. "The Precautionary Premium and the Risk-Downside Risk Tradeoff," Working Papers 0204, Department of Economics, University of Missouri, revised 16 May 2002.
  9. Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany.
  10. Gkillas, Konstantinos & Konstantatos, Christoforos & Papathanasiou, Spyros & Wohar, Mark, 2023. "Estimation of value at risk for copper," Journal of Commodity Markets, Elsevier, vol. 32(C).
  11. Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz, 2003. "A New Approach to Measuring Financial Contagion," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 717-763, July.
  12. Campbell-Pownall, R.A.J. & Huisman, R., 2002. "Measuring Credit Spread Risk," ERIM Report Series Research in Management ERS-2002-95-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  13. Tolikas, Konstantinos, 2014. "Unexpected tails in risk measurement: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 476-493.
  14. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005. "An evaluation framework for alternative VaR-models," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 944-958, October.
  15. Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
  16. Chang, Kuang-Liang, 2010. "House price dynamics, conditional higher-order moments, and density forecasts," Economic Modelling, Elsevier, vol. 27(5), pages 1029-1039, September.
  17. Montshioa, Keitumetse & Muteba Mwamba, John Weirstrass & Bonga-Bonga, Lumengo, 2021. "Asset allocation in extreme market conditions: a comparative analysis between developed and emerging economies," MPRA Paper 106248, University Library of Munich, Germany.
  18. Choudhry, Taufiq & Jayasekera, Ranadeva, 2014. "Returns and volatility spillover in the European banking industry during global financial crisis: Flight to perceived quality or contagion?," International Review of Financial Analysis, Elsevier, vol. 36(C), pages 36-45.
  19. Louis Gagnon & G. Andrew Karolyi, 2006. "Price and Volatility Transmission across Borders," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 15(3), pages 107-158, August.
  20. Xiao-Ming Li & Lawrence Rose, 2007. "Market integration and extreme co-movements in APEC emerging equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(2), pages 99-113.
  21. Diego Nocetti, 2006. "Central bank´s value at risk and financial crises: An application to the 2001 Argentine crisis," Journal of Applied Economics, Universidad del CEMA, vol. 9, pages 381-402, November.
  22. Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
  23. Gomes, Frederico Pechir & Takami, Marcelo Yoshio & Brandi, Vinicius Ratton, 2008. "Investigating Unusual Changes in Real-Dollar Exchange Rate," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(2), October.
  24. Carmen F. Menezes & X. Henry Wang, 2004. "On the Risk–Downside Risk Tradeoff," Manchester School, University of Manchester, vol. 72(2), pages 179-187, March.
  25. Jiawen Xu & Yixuan Li & Kai Liu & Tao Chen, 2023. "Portfolio selection: from under-diversification to concentration," Empirical Economics, Springer, vol. 64(4), pages 1539-1557, April.
  26. Haile, Fasika & Pozo, Susan, 2008. "Currency crisis contagion and the identification of transmission channels," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 572-588, October.
  27. Pontines, Victor & Siregar, Reza, 2007. "The Yen, the US dollar, and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?," Japan and the World Economy, Elsevier, vol. 19(2), pages 214-235, March.
  28. 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.
  29. Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
  30. Tolikas, Konstantinos & Gettinby, Gareth D., 2009. "Modelling the distribution of the extreme share returns in Singapore," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 254-263, March.
  31. Bonga-Bonga, Lumengo & Montshioa, Keitumetse, 2024. "Navigating extreme market fluctuations: asset allocation strategies in developed vs. emerging economies," MPRA Paper 119910, University Library of Munich, Germany.
  32. Tae-Hwy Lee & Yong Bao & Burak Saltoglu, 2006. "Evaluating predictive performance of value-at-risk models in emerging markets: a reality check," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 101-128.
  33. Konstantinos Tolikas & Athanasios Koulakiotis & Richard A. Brown, 2007. "Extreme Risk and Value-at-Risk in the German Stock Market," The European Journal of Finance, Taylor & Francis Journals, vol. 13(4), pages 373-395.
  34. Butler, K. C. & Joaquin, D. C., 2002. "Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets," Journal of International Money and Finance, Elsevier, vol. 21(7), pages 981-1011, December.
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