Chollete, Lorán; de la Peña, Victor; Lu, Ching-Chih - In: Journal of Banking & Finance 36 (2012) 3, pp. 871-885
additional findings related to dependence. First, the timing of downside risk differs depending on the region. Surprisingly …, recent Latin American returns exhibit little downside risk. Second, Latin America exhibits a great deal of correlation … for joint downside risk during extreme events. …