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Citations for "Downside Risk"

by Andrew Ang & Joseph Chen & Yuhang Xing

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  1. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre.
  2. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis.
  3. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
  4. López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2012. "Short-term wholesale funding and systemic risk: A global CoVaR approach," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3150-3162.
  5. Narayan, Paresh Kumar & Westerlund, Joakim, 2014. "Does cash flow predict returns?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 230-236.
  6. 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, vol. 37(8), pages 3085-3099.
  7. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009. "Option-Implied Measures of Equity Risk," CIRANO Working Papers 2009s-33, CIRANO.
  8. 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, vol. 102(2), pages 363-389.
  9. Robert Merrin & Arvid Hoffmann & Joost Pennings, 2013. "Customer satisfaction as a buffer against sentimental stock-price corrections," Marketing Letters, Springer, vol. 24(1), pages 13-27, March.
  10. Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014. "Conditional risk premia in currency markets and other asset classes," Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
  11. Weigert, Florian, 2013. "In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide," Working Papers on Finance 1325, University of St. Gallen, School of Finance.
  12. Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, School of Economics and Management, University of Aarhus.
  13. René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers 2009s-21, CIRANO.
  14. Hwang, Soosung & Rubesam, Alexandre, 2013. "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2367-2377.
  15. Fuller, Kathleen P. & Goldstein, Michael A., 2011. "Do dividends matter more in declining markets?," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 457-473, June.
  16. Olmo, J., 2007. "An asset pricing model for mean-variance-downside-risk averse investors," Working Papers 07/01, Department of Economics, City University London.
  17. repec:dgr:uvatin:2010116 is not listed on IDEAS
  18. Antonio Rubia Serrano & Lidia Sanchis-Marco, 2015. "Measuring Tail-Risk Cross-Country Exposures in the Banking Industry," Working Papers. Serie AD 2015-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  19. Silvia Muzzioli, 2013. "The Forecasting Performance of Corridor Implied Volatility in the Italian Market," Computational Economics, Society for Computational Economics, vol. 41(3), pages 359-386, March.
  20. 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.
  21. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
  22. 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) 11112, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  23. Massimo Guidolin & Stuart Hyde, 2011. "Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective," Working Papers 414, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  24. 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 122527, European Association of Agricultural Economists.
  25. Herings P. Jean-Jacques & Kubler Felix, 2003. "Approximate CAPM When Preferences Are CRRA," Research Memorandum 064, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  26. Galsband, Victoria, 2012. "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2379-2388.
  27. 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).
  28. Kraeussl, Roman & Logher, Robin, 2010. "Emerging art markets," Emerging Markets Review, Elsevier, vol. 11(4), pages 301-318, December.
  29. Fernando D. Chague, 2013. "Conditional Betas and Investor Uncertainty," Working Papers, Department of Economics 2013_04, University of São Paulo (FEA-USP).
  30. Diana Barro & Elio Canestrelli & Fabio Lanza, 2014. "Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance," Working Papers 2014:18, Department of Economics, University of Venice "Ca' Foscari".
  31. Hayat, Raphie & Kraeussl, Roman, 2011. "Risk and return characteristics of Islamic equity funds," Emerging Markets Review, Elsevier, vol. 12(2), pages 189-203, June.
  32. Patricia Chelley-Steeley & Antonios Siganos, 2005. "Momentum Profits in Alternative Stock Market Structures," Money Macro and Finance (MMF) Research Group Conference 2005 63, Money Macro and Finance Research Group.
  33. Dirk G Baur & Thomas Dimpfl, 2012. "State-dependent Momentum in International Stock Markets," Working Paper Series 169, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  34. Beach, Steven L., 2011. "Semivariance decomposition of country-level returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 607-623, October.
  35. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
  36. 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, vol. 29(C), pages 440-454.
  37. Adam-Müller, Axel F.A. & Nolte, Ingmar, 2011. "Cross hedging under multiplicative basis risk," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2956-2964, November.
  38. 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).
  39. 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, vol. 22(1), pages 8-19.
  40. Daouk, Hazem & Ng, David, 2011. "Is unlevered firm volatility asymmetric?," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 634-651, September.
  41. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
  42. Hanno Lustig, . "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models," UCLA Economics Online Papers 420, UCLA Department of Economics.
  43. Galariotis, Emilios C., 2010. "What should we know about momentum investing? The case of the Australian Security Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 369-389, September.
  44. Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y., 2013. "Learning and the disappearing association between governance and returns," Journal of Financial Economics, Elsevier, vol. 108(2), pages 323-348.
  45. Gemmill, Gordon & Keswani, Aneel, 2011. "Downside risk and the size of credit spreads," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2021-2036, August.
  46. 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, vol. 63(3), pages 168-186, May.
  47. 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, vol. 37(2), pages 361-377.
  48. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
  49. Chow, Victor & Lai, Christine W., 2015. "Conditional Sharpe Ratios," Finance Research Letters, Elsevier, vol. 12(C), pages 117-133.
  50. 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.
  51. 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 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.
  52. Guidi, Francesco & Ugur, Mehmet, 2014. "An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 119-136.
  53. repec:dgr:uvatin:2010082 is not listed on IDEAS
  54. Driessen, Joost & Maenhout, Pascal, 2013. "The world price of jump and volatility risk," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 518-536.
  55. Menkhoff, Lukas & Schmeling, Maik, 2006. "A Prospect-Theoretical Interpretation of Momentum Returns," Hannover Economic Papers (HEP) dp-335, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  56. Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter, 2009. "Correlation risk," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 353-367, June.
  57. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
  58. Namwon Hyung & Casper G. de Vries, 2010. "The Downside Risk of Heavy Tails induces Low Diversification," Tinbergen Institute Discussion Papers 10-082/2, Tinbergen Institute.
  59. Zhang, Xiang, 2014. "Reference-dependent electric vehicle production strategy considering subsidies and consumer trade-offs," Energy Policy, Elsevier, vol. 67(C), pages 422-430.
  60. Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre, 2012. "Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(06), pages 1279-1301, December.
  61. Mahmoud Botshekan & Roman Kraeussl & Andre Lucas, 2010. "Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?," Tinbergen Institute Discussion Papers 10-116/2/DSF 3, Tinbergen Institute.
  62. Arthur Charpentier & Emilios Galariotis & Christophe Villa, 2009. "Category-based Tail Comovement," Working Papers hal-00550330, HAL.
  63. Christoffersen, Peter & Langlois, Hugues, 2013. "The Joint Dynamics of Equity Market Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(05), pages 1371-1404, October.
  64. 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, vol. 98(3), pages 605-625, December.
  65. Ruenzi, Stefan & Weigert, Florian, 2013. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance 1324, University of St. Gallen, School of Finance.
  66. Demirer, Rıza & Jategaonkar, Shrikant P., 2013. "The conditional relation between dispersion and return," Review of Financial Economics, Elsevier, vol. 22(3), pages 125-134.
  67. 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, vol. 18(2), pages 289-305, March.
  68. Cumova, Denisa & Nawrocki, David, 2011. "A symmetric LPM model for heuristic mean-semivariance analysis," Journal of Economics and Business, Elsevier, vol. 63(3), pages 217-236, May.
  69. Diep Duong & Norman Swanson, 2013. "Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction," Departmental Working Papers 201321, Rutgers University, Department of Economics.
  70. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013. "Extreme Downside Liquidity Risk," Working Papers on Finance 1326, University of St. Gallen, School of Finance.
  71. Weber, Martin & Welfens, Frank, 2007. "How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum," Sonderforschungsbereich 504 Publications 07-42, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  72. Alles, Lakshman & Murray, Louis, 2013. "Rewards for downside risk in Asian markets," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2501-2509.
  73. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
  74. 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, vol. 29(C), pages 208-223.
  75. 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.
  76. Javid, Attiya Yasmin, 2009. "Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market," MPRA Paper 38059, University Library of Munich, Germany.
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