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Extreme observations and diversification in Latin American emerging equity markets
16 references·16 citing·35 second hopsampled
Extreme observations and diversification in Latin American emerging equity markets (2001)Extreme observations and diversification …The variation of certain speculative prices (1997)The variation of certain spec…Stock returns and volatility in emerging financial markets (1997)Stock returns and volatility …Emerging equity market volatility (1997)Emerging equity market volati…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Time-Varying World Market Integration (1995)Time-Varying World Market Int…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Home bias and high turnover (1995)Home bias and high turnoverTesting the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)Testing the covariance statio…Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)On the Frequency of Large Sto…Investor Diversification and International Equity Markets (1991)Investor Diversification and …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Safety First and the Holding of Assets (1952)Safety First and the Holding …Spillovers to sectoral equity returns: do liquidity and financial positions matter? (2021)Spillovers to sectoral equity…Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach (2018)Dependence structure between …Banking industry performance in the wake of the global financial crisis (2016)Banking industry performance …The transmission of market shocks and bilateral linkages: Evidence from emerging economies (2015)The transmission of market sh…Extreme Value Theory for Finance: A Survey (2012)Extreme Value Theory for Fina…International diversification: An extreme value approach (2011)International diversification…When markets fall down: are emerging markets all the same? (2010)When markets fall down: are e…Dependence structure of risk factors and diversification effects (2010)Dependence structure of risk …Varying the VaR for unconditional and conditional environments (2007)Varying the VaR for unconditi…Portfolio selection with heavy tails (2007)Portfolio selection with heav…Is co-skewness a better measure of risk in the downside than downside beta? (2007)Is co-skewness a better measu…The distribution of the extreme daily share returns in the Athens stock exchange (2006)The distribution of the extre…Extreme Value Theory and Fat Tails in Equity Markets (2006)Extreme Value Theory and Fat …An alternative perspective on the relationship between downside beta and CAPM beta (2006)An alternative perspective on…Portfolio implications of systemic crises (2005)Portfolio implications of sys…Returns on ADRs and arbitrage in emerging markets (2003)Returns on ADRs and arbitrage…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)An equilibrium model of the international capital market (1974)International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Investment Flows (1997)Trying to Explain Home Bias in Equities and Consumption (1999)Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)Does financial liberalization spur growth? (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Risk, Return, and Equilibrium: Empirical Tests (1973)Local Return Factors and Turnover in Emerging Stock Markets (1999)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)The determinants of cross-border equity flows (2004)
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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1995Home bias and high turnover1,245 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1995Time-Varying World Market Integration594 cited
  • 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
  • 1997Stock returns and volatility in emerging financial markets465 cited
  • 1991

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On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective
448 cited

Cited by

  • 2006An alternative perspective on the relationship between downside beta and CAPM beta63 cited
  • 2007Is co-skewness a better measure of risk in the downside than downside beta?59 cited
  • 2003Returns on ADRs and arbitrage in emerging markets57 cited
  • 2018Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach51 cited
  • 2006Extreme Value Theory and Fat Tails in Equity Markets47 cited
  • 2010Dependence structure of risk factors and diversification effects44 cited
  • 2007Varying the VaR for unconditional and conditional environments38 cited
  • 2012Extreme Value Theory for Finance: A Survey37 cited
  • 2016Banking industry performance in the wake of the global financial crisis36 cited
  • 2007Portfolio selection with heavy tails36 cited
  • 2015The transmission of market shocks and bilateral linkages: Evidence from emerging economies35 cited
  • 2005Portfolio implications of systemic crises35 cited
  • 2006The distribution of the extreme daily share returns in the Athens stock exchange28 cited
  • 2010When markets fall down: are emerging markets all the same?25 cited
  • 2021Spillovers to sectoral equity returns: do liquidity and financial positions matter?25 cited
  • 2011International diversification: An extreme value approach25 cited