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

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Author Info
Pownall, Rachel A. J.
Koedijk, Kees G.
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 18 (1999)
Issue (Month): 6 (December)
Pages: 853-870
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Handle: RePEc:eee:jimfin:v:18:y:1999:i:6:p:853-870

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Web page: http://www.elsevier.com/locate/inca/30443

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  1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  2. Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2000. "A New Approach to Measuring Financial Contagion," NBER Working Papers 7913, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Campbell-Pownall, R.A.J. & Huisman, R., 2002. "Measuring Credit Spread Risk," Research Paper ERS-2002-95-F&A Revision_, 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 Uni. [Downloadable!]
  4. Lehnert, Thorsten & Wolff, Christian C, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  5. X. H. Wang & Carmen Menezes, 2002. "The Precautionary Premium and the Risk-Downside Risk Tradeoff," Working Papers 0204a, Department of Economics, University of Missouri, revised 16 May 2002. [Downloadable!]
  6. 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. [Downloadable!]
  7. Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany. [Downloadable!]
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