Galagedera, Don U A; Jaapar, Asmah M - In: The IUP Journal of Financial Economics VII (2009) 1, pp. 36-51
This paper estimates time-varying systematic downside risk using a parametric specification (BEKK model) and a nonparametric procedure (rolling window technique). A sample of Malaysian industry portfolio daily returns reveals that the covariance between portfolio excess return and excess...