Common negative extreme variations in returns are prevalent in international equity markets.
This has been widely documented with statistical tools such as exceedance correlation, …

Value at risk (VaR) is a central concept in risk management. As stressed by Artzner et al. (1999,
Coherent measures of risk, Math. Finance 9(3) 203–228), VaR may not possess the …

This paper examines how a firm’s corporate governance characteristics and institutional
environment affect the presence of large foreign shareholding, and how a firm’s foreign …

Following the 2008 financial crisis and the government bailout of troubled companies, Too-Big-to-Fail
became a standard expression to name a free protection of Wall Street by tax-…

We consider impulse response functions to study the impact of both return and volatility on
the correlation between international equity markets. Using data on the US (as the reference …

We analyze in this paper the implications of asymmetric dependence for the management of
extreme risk. We show that in the presence of asymmetric dependence, a portfolio model …

Earlier studies document the earnings announcement premium, that the average stock
return around earnings announcements is positive. This study examines the earnings …

Equity returns are more dependent in bear markets than in bull markets. Previous studies
have argued that a multivariate GARCH model or a regime switching (RS) model based on …

It is commonly agreed that the government is more likely to step in and rescue some troubled
companies labeled as “too big to fail” or “too interconnected to fail.” Since there is no formal …

How the correlation between equity returns behaves during market turmoils has been an issue
of discussion in the international finance literature. Some research suggest an increase of …