Showing 1 - 10 of 43
Persistent link: https://www.econbiz.de/10011480647
Persistent link: https://www.econbiz.de/10012128287
Persistent link: https://www.econbiz.de/10011581609
Persistent link: https://www.econbiz.de/10011402719
Persistent link: https://www.econbiz.de/10003985090
Persistent link: https://www.econbiz.de/10001690084
Persistent link: https://www.econbiz.de/10009675549
Persistent link: https://www.econbiz.de/10003304084
Persistent link: https://www.econbiz.de/10014245903
We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...
Persistent link: https://www.econbiz.de/10012871525