Citations for "Testing for differences in the tails of stock-market returns"
by Jondeau, Eric & Rockinger, Michael
- Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012. "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1492-1502.
- 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, vol. 15(2), pages 258-285.
- Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007.
"Stochastic Dominance Analysis of iShares,"
Finance Working Papers
21919, East Asian Bureau of Economic Research.
- Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 287-309, March.
- 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.
- Marc Joëts, 2013.
"Energy price transmissions during extreme movements,"
2013-028, Department of Research, Ipag Business School.
- Joëts, Marc, 2014. "Energy price transmissions during extreme movements," Economic Modelling, Elsevier, vol. 40(C), pages 392-399.
- Marc Joëts, 2012. "Energy price transmissions during extreme movements," EconomiX Working Papers 2012-38, University of Paris West - Nanterre la Défense, EconomiX.
- Eric Jondeau & Michael Rockinger, 2006.
"Optimal Portfolio Allocation under Higher Moments,"
European Financial Management,
European Financial Management Association, vol. 12(1), pages 29-55.
- Aboura, Sofiane, 2014.
"When the U.S. Stock Market Becomes Extreme?,"
Economics Papers from University Paris Dauphine
123456789/13771, Paris Dauphine University.
- C.G. de vries, 2004.
"The simple economics of bank fragility,"
WO Research Memoranda (discontinued)
755, Netherlands Central Bank, Research Department.
- de Vries, Casper G & Hartmann, Philipp & Straetmans, Stefan, 2004.
"Fundamentals and Joint Currency Crises,"
CEPR Discussion Papers
4338, C.E.P.R. Discussion Papers.
- Straetmans, Stefan & Candelon, Bertrand, 2013. "Long-term asset tail risks in developed and emerging markets," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1832-1844.
- Candelon, Bertrand & Joëts, Marc & Tokpavi, Sessi, 2013. "Testing for Granger causality in distribution tails: An application to oil markets integration," Economic Modelling, Elsevier, vol. 31(C), pages 276-285.
- 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.
- 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 04-102/2, Tinbergen Institute.
- 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, vol. 28(2), pages 187-201, February.
- 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 iiisdp260, IIIS.
- Charlotte Christiansen, 2013.
"Classifying Returns as Extreme: European Stock and Bond Markets,"
CREATES Research Papers
2013-37, School of Economics and Management, University of Aarhus.
- Christiansen, Charlotte, 2014. "Classifying returns as extreme: European stock and bond markets," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 1-4.
- 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.
- Amine JALAL & Michael ROCKINGER, 2004.
"Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data,"
FAME Research Paper Series
rp115, International Center for Financial Asset Management and Engineering.
- 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, vol. 15(5), pages 868-877, December.
- Camilleri, Silvio John, 2006. "An Analysis of Stock Index Distributions of Selected Emerging Markets," MPRA Paper 62490, University Library of Munich, Germany.
- Konstantinos Tolikas, 2011. "The rare event risk in African emerging stock markets," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 275-294, March.
- Geluk, J.L. & De Vries, C.G., 2006.
"Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities,"
Insurance: Mathematics and Economics,
Elsevier, vol. 38(1), pages 39-56, February.
- 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 EI 2004-47, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- 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.
- 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., vol. 23(1), pages 17-42.
- Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
- 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.
- 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.
- 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, vol. 71(C), pages 568-587.
- Kostakis, Alexandros & Muhammad, Kashif & Siganos, Antonios, 2012. "Higher co-moments and asset pricing on London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 913-922.
- Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society.
- Alexander Eastman & Brian Lucey, 2008. "Skewness and asymmetry in futures returns and volumes," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 777-800.
- DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
- Candelon, Bertrand & Straetmans, Stefan, 2006. "Testing for multiple regimes in the tail behavior of emerging currency returns," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1187-1205, November.
- Adrián F. Rossignolo & Víctor A. Álvarez, 2015. "Has the basel committee got it right? Evidence from commodity positions in turmoil," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, March.