Showing 1 - 8 of 8
Persistent link: https://www.econbiz.de/10001529737
This paper investigates tail risk in emerging stock markets by comparing the investable and noninvestable 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 and the symmetrized Joe-Clayton...
Persistent link: https://www.econbiz.de/10013159264
Persistent link: https://www.econbiz.de/10003889913
Persistent link: https://www.econbiz.de/10003894588
Persistent link: https://www.econbiz.de/10003486748
Persistent link: https://www.econbiz.de/10003360133
Persistent link: https://www.econbiz.de/10001130677
Persistent link: https://www.econbiz.de/10014426693