Li, Xiao-Ming; Rose, Lawrence C. - In: Emerging Markets Review 10 (2009) 4, pp. 242-256
We investigate tail risk in emerging stock markets at the country, regional and world levels, by comparing the investable and non-investable segments in terms of the expected shortfall of standardized returns and tail dependence on the world market. Employing the skewed Student-t GJR-GARCH model...