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

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

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File URL: http://www.sciencedirect.com/science/article/B6W5X-4JVT1WT-1/2/27c376b6d62670d202f5c180f48f3e22
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Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 47 (2007)
Issue (Month): 3 (July)
Pages: 449-469

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Handle: RePEc:eee:quaeco:v:47:y:2007:i:3:p:449-469
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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  1. Ike Mathur, 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, 02.
  2. repec:ner:tilbur:urn:nbn:nl:ui:12-3108722 is not listed on IDEAS
  3. 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.
  4. 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.
  5. Berry Wilson & Anthony Saunders & Gerard Caprio, Jr., 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.
  6. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  7. 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.
  8. Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.).
  9. 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.
  10. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71, pages 421.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
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