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Extreme observations and diversification in Latin American emerging equity markets · Study

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ArticleExtreme observations and diversification in Latin American emerging equity markets

Raúl Susmel2001

Article2001

Extreme observations and diversification in Latin American emerging equity markets

68 citations·0/0 files stored·Journal of International Money and Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1991Investor Diversification and International Equity Markets 1952Safety First and the Holding of Assets 1995Time‐Varying World Market Integration 1997Emerging equity market volatility

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2006An alternative perspective on the relationship between downside beta and CAPM beta 2007Is co-skewness a better measure of risk in the downside than downside beta?2003Returns on ADRs and arbitrage in emerging markets 2018Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach 2006Extreme Value Theory and Fat Tails in Equity Markets 2010Dependence structure of risk factors and diversification effects

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Year2001

Typearticle

Published2001-12-01

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations68

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0261-5606(01)00014-6

openalex_workW1565964060

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2007Varying the VaR for unconditional and conditional environments

2012Extreme Value Theory for Finance: A Survey