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ArticleSystematic extreme downside risk

Richard D. F. Harris2019

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Articlegreen2019

Systematic extreme downside risk

Richard D. F. Harris · Linh Hoang Nguyen · Evarist Stoja

37 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1973Risk, Return, and Equilibrium: Empirical Tests 2002Illiquidity and stock returns: cross-section and time-series effects 1999Coherent Measures of Risk 2003Liquidity Risk and Expected Stock Returns 2006The Cross‐Section of Volatility and Expected Returns 2000Conditional Skewness in Asset Pricing Tests

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2021Tail event-based sovereign credit risk transmission network during COVID-19 pandemic 2019International Tail Risk Connectedness: Network and Determinants

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Year2019

Typearticle

Published2019-02-25

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations37

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.intfin.2019.02.007

openalex_workW2915686175

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