activity is consistent with the factor proportions theory, i.e., to what extent multinational activity is related to cheap …

global shocks could lead to greater macroeconomic volatility due to the co-movements of bond and equity flows into Asia …

marginal distributions that capture the fat-tailed behavior, we estimate risk measures such as the Value-at-Risk and expected … shortfall and evaluate whether those from the Gaussian copula function underestimate or overestimate true risk measures. We also … returns. We fit the GPD as the two margins and a variety of copula functions in the extant literature in evaluating the risk …

stability. Using VAR models, the study reveals a clear increase in risk appetite following interest rate cuts after the …