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Citations for "Downside Risk"

by Andrew Ang & Joseph Chen & Yuhang Xing

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  1. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 3085-3099.
  2. Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
  3. Hwang, Soosung & Rubesam, Alexandre, 2013. "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(7), pages 2367-2377.
  4. repec:dgr:uvatin:2010116 is not listed on IDEAS
  5. Menkhoff, Lukas & Schmeling, Maik, 2006. "A Prospect-Theoretical Interpretation of Momentum Returns," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-335, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  6. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(2), pages 363-389.
  7. Kraeussl, Roman & Logher, Robin, 2010. "Emerging art markets," Emerging Markets Review, Elsevier, Elsevier, vol. 11(4), pages 301-318, December.
  8. Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2007-030, Boston University - Department of Economics.
  9. Daouk, Hazem & Ng, David, 2011. "Is unlevered firm volatility asymmetric?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(4), pages 634-651, September.
  10. Gemmill, Gordon & Keswani, Aneel, 2011. "Downside risk and the size of credit spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(8), pages 2021-2036, August.
  11. Adam-Müller, Axel F.A. & Nolte, Ingmar, 2011. "Cross hedging under multiplicative basis risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(11), pages 2956-2964, November.
  12. Galsband, Victoria, 2012. "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(8), pages 2379-2388.
  13. Olmo, J., 2007. "An asset pricing model for mean-variance-downside-risk averse investors," Working Papers, Department of Economics, City University London 07/01, Department of Economics, City University London.
  14. Ritter, Matthias & Musshoff, Oliver & Odening, Martin, 2012. "Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model," 123rd Seminar, February 23-24, 2012, Dublin, Ireland, European Association of Agricultural Economists 122527, European Association of Agricultural Economists.
  15. Alles, Lakshman & Murray, Louis, 2013. "Rewards for downside risk in Asian markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(7), pages 2501-2509.
  16. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(2), pages 289-305, March.
  17. Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2013-016-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.
  18. Fernando D. Chague, 2013. "Conditional Betas and Investor Uncertainty," Working Papers, Department of Economics, University of São Paulo (FEA-USP) 2013_04, University of São Paulo (FEA-USP).
  19. Cumova, Denisa & Nawrocki, David, 2011. "A symmetric LPM model for heuristic mean-semivariance analysis," Journal of Economics and Business, Elsevier, Elsevier, vol. 63(3), pages 217-236, May.
  20. Beach, Steven L., 2011. "Semivariance decomposition of country-level returns," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(4), pages 607-623, October.
  21. Zhu, Hui-Ming & Li, Rong & Li, Sufang, 2014. "Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns," International Review of Economics & Finance, Elsevier, Elsevier, vol. 29(C), pages 208-223.
  22. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 18(1), pages 65-92, January.
  23. Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010. "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series 2010/20, Center for Financial Studies (CFS).
  24. Silvia Muzzioli, 2013. "The Forecasting Performance of Corridor Implied Volatility in the Italian Market," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 41(3), pages 359-386, March.
  25. Chelley-Steeley, Patricia & Siganos, Antonios, 2008. "Momentum profits in alternative stock market structures," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 18(2), pages 131-144, April.
  26. Kräussl, Roman & Elsland, Niels van, 2008. "Constructing the true art market index: A novel 2-step hedonic approach and its application to the German art market," CFS Working Paper Series 2008/11, Center for Financial Studies (CFS).
  27. Robert Merrin & Arvid Hoffmann & Joost Pennings, 2013. "Customer satisfaction as a buffer against sentimental stock-price corrections," Marketing Letters, Springer, Springer, vol. 24(1), pages 13-27, March.
  28. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, Elsevier, vol. 63(3), pages 168-186, May.
  29. Massimo Guidolin & Stuart Hyde, 2010. "Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective," Working Papers, Federal Reserve Bank of St. Louis 2010-002, Federal Reserve Bank of St. Louis.
  30. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, Elsevier, vol. 31(C), pages 189-197.
  31. Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, School of Economics and Management, University of Aarhus.
  32. P. Herings & Felix Kubler, 2007. "Approximate CAPM When Preferences are CRRA," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 29(1), pages 13-31, February.
  33. Huffman, Stephen P. & Moll, Cliff R., 2013. "An examination of the relation between asymmetric risk measures, prior returns and expected daily stock returns," Review of Financial Economics, Elsevier, Elsevier, vol. 22(1), pages 8-19.
  34. Patton, Andrew J. & Timmermann, Allan, 2010. "Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts," Journal of Financial Economics, Elsevier, Elsevier, vol. 98(3), pages 605-625, December.
  35. Diep Duong & Norman Swanson, 2013. "Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction," Departmental Working Papers, Rutgers University, Department of Economics 201321, Rutgers University, Department of Economics.
  36. Fiordelisi, Franco & Meles, Antonio & Monferrà, Stefano & Starita, Maria Grazia, 2013. "Personal vs. Corporate Goals: Why do Insurance Companies Manage Loss Reserves?," MPRA Paper 47867, University Library of Munich, Germany.
  37. René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers, CIRANO 2009s-21, CIRANO.
  38. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(7), pages 2122-2135.
  39. Driessen, Joost & Maenhout, Pascal, 2013. "The world price of jump and volatility risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(2), pages 518-536.
  40. Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  41. Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
  42. Galariotis, Emilios C., 2010. "What should we know about momentum investing? The case of the Australian Security Exchange," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 18(4), pages 369-389, September.
  43. Tsai, Hsiu-Jung & Chen, Ming-Chi & Yang, Chih-Yuan, 2014. "A time-varying perspective on the CAPM and downside betas," International Review of Economics & Finance, Elsevier, Elsevier, vol. 29(C), pages 440-454.
  44. Silvia Muzzioli, 2011. "Corridor implied volatility and the variance risk premium in the Italian market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi" 11112, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  45. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009. "Option-Implied Measures of Equity Risk," CIRANO Working Papers, CIRANO 2009s-33, CIRANO.
  46. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers, Federal Reserve Bank of St. Louis 2007-030, Federal Reserve Bank of St. Louis.
  47. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, Elsevier, vol. 235(3), pages 643-659.
  48. Weigert, Florian, 2012. "In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide," Working Papers on Finance, University of St. Gallen, School of Finance 1325, University of St. Gallen, School of Finance, revised Mar 2013.
  49. 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.
  50. Neil Shephard & Silja Kinnebrock & Ole E. Barndorff-Neilsen, 2008. "Measuring downside risk - realised semivariance," Economics Series Working Papers, University of Oxford, Department of Economics 382, University of Oxford, Department of Economics.
  51. Zhang, Xiang, 2014. "Reference-dependent electric vehicle production strategy considering subsidies and consumer trade-offs," Energy Policy, Elsevier, Elsevier, vol. 67(C), pages 422-430.
  52. Syed Abul, Basher & Salem, Nechi & Hui, Zhu, 2014. "Dependence patterns across Gulf Arab stock markets: a copula approach," MPRA Paper 56566, University Library of Munich, Germany.
  53. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers, Galatasaray University Economic Research Center 12-4, Galatasaray University Economic Research Center.
  54. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2012. "Extreme Downside Liquidity Risk," Working Papers on Finance, University of St. Gallen, School of Finance 1326, University of St. Gallen, School of Finance, revised Nov 2013.
  55. repec:dgr:uvatin:2010082 is not listed on IDEAS
  56. Ruenzi, Stefan & Weigert, Florian, 2011. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance, University of St. Gallen, School of Finance 1324, University of St. Gallen, School of Finance, revised Mar 2013.
  57. Germán López-Espinosa & Antonio Moreno & Antonio Rubia & Laura Valderrama, 2012. "Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 02/12, School of Economics and Business Administration, University of Navarra.
  58. Hayat, Raphie & Kraeussl, Roman, 2011. "Risk and return characteristics of Islamic equity funds," Emerging Markets Review, Elsevier, Elsevier, vol. 12(2), pages 189-203, June.
  59. Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter, 2009. "Correlation risk," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(3), pages 353-367, June.
  60. Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y., 2013. "Learning and the disappearing association between governance and returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(2), pages 323-348.
  61. Dirk G Baur & Thomas Dimpfl, 2012. "State-dependent Momentum in International Stock Markets," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 169, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  62. Boubaker, Heni & Sghaier, Nadia, 2013. "Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(2), pages 361-377.
  63. 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.
  64. Fuller, Kathleen P. & Goldstein, Michael A., 2011. "Do dividends matter more in declining markets?," Journal of Corporate Finance, Elsevier, Elsevier, vol. 17(3), pages 457-473, June.
  65. Demirer, Rıza & Jategaonkar, Shrikant P., 2013. "The conditional relation between dispersion and return," Review of Financial Economics, Elsevier, Elsevier, vol. 22(3), pages 125-134.