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 … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

findings from equity markets, left and right tail risk implied by option markets are both large. Commodity specific variables … exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail … risk. Additionally, we find strong links to the equity markets, but also co-movements to macroeconomic factors. Left or …

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …