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Citations for "Testing for differences in the tails of stock-market returns"

by ROCKINGER, Michael & JONDEAU, Eric

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  1. Daniella Acker & Nigel W. Duck, 2004. "Estimating Betas and Stock-Return Correlations From Monthly Data: A Warning Note," Bristol Economics Discussion Papers 04/557, Department of Economics, University of Bristol, UK.
  2. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(2), pages 305-323.
  3. Konstantinos Tolikas, 2011. "The rare event risk in African emerging stock markets," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 37(3), pages 275-294, March.
  4. de Vries, Casper G & Hartmann, Philipp & Straetmans, Stefan, 2004. "Fundamentals and Joint Currency Crises," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4338, C.E.P.R. Discussion Papers.
  5. Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings, Econometric Society 753, Econometric Society.
  6. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area 99, Bank of Italy, Economic Research and International Relations Area.
  7. Jalal, Amine & Rockinger, Michael, 2008. "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(5), pages 868-877, December.
  8. Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen, 2013. "The drivers of downside equity tail risk," MPRA Paper 45591, University Library of Munich, Germany.
  9. Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," Finance Working Papers 21919, East Asian Bureau of Economic Research.
  10. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Papers physics/0305089, arXiv.org.
  11. Brian M Lucey and Alexander Eastman, 2008. "Comparing Garman-Klass and DU Volatility and Symmetry Measures in Intraday Futures Returns and Volumes: A Vector Autoregression Analysis," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp260, IIIS.
  12. Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen, 2013. "The cross-section of tail risks in stock returns," MPRA Paper 45592, University Library of Munich, Germany.
  13. Geluk, J.L. & de Vries, C.G., 2004. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute EI 2004-47, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  14. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, Open Access Journal, MDPI, Open Access Journal, vol. 2(2), pages 211-225, May.
  15. J.L. Geluk & C.G. de Vries, 2004. "Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities," Tinbergen Institute Discussion Papers, Tinbergen Institute 04-102/2, Tinbergen Institute.
  16. S. T. M. Straetmans & W. F. C. Verschoor & C. C. P. Wolff, 2008. "Extreme US stock market fluctuations in the wake of 9|11," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(1), pages 17-42.
  17. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, European Financial Management Association, vol. 12(1), pages 29-55.
  18. Bertrand Candelon & Marc Joëts & Sessi Tokpavi, 2012. "Testing for crude oil markets globalization during extreme price movements," EconomiX Working Papers 2012-28, University of Paris West - Nanterre la Défense, EconomiX.
  19. Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012. "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(5), pages 1492-1502.
  20. Candelon, Bertrand & Straetmans, Stefan, 2006. "Testing for multiple regimes in the tail behavior of emerging currency returns," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(7), pages 1187-1205, November.
  21. Straetmans, Stefan & Candelon, Bertrand, 2013. "Long-term asset tail risks in developed and emerging markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(6), pages 1832-1844.
  22. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(2), pages 287-309, March.
  23. Candelon, Bertrand & Joëts, Marc & Tokpavi, Sessi, 2013. "Testing for Granger causality in distribution tails: An application to oil markets integration," Economic Modelling, Elsevier, Elsevier, vol. 31(C), pages 276-285.
  24. Kostakis, Alexandros & Muhammad, Kashif & Siganos, Antonios, 2012. "Higher co-moments and asset pricing on London Stock Exchange," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(3), pages 913-922.
  25. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 28(2), pages 187-201, February.
  26. C.G. de vries, 2004. "The simple economics of bank fragility," WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department 755, Netherlands Central Bank, Research Department.
  27. Rhee, S. Ghon & Wu, Feng, 2012. "Anything wrong with breaking a buck? An empirical evaluation of NASDAQ's $1 minimum bid price maintenance criterion," Journal of Financial Markets, Elsevier, Elsevier, vol. 15(2), pages 258-285.
  28. So, Mike K.P. & Chan, Raymond K.S., 2014. "Bayesian analysis of tail asymmetry based on a threshold extreme value model," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 71(C), pages 568-587.