dc.contributor.author | Harris, RDF | |
dc.contributor.author | Nguyen, L | |
dc.contributor.author | Stoja, E | |
dc.date.accessioned | 2019-05-15T13:15:29Z | |
dc.date.issued | 2019-06-10 | |
dc.description.abstract | 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-return relationship
identified by Bali, Demirtas, and Levy (2009) is highly significant in the low volatility state
but disappears during periods of market turbulence. This is puzzling since it is during such
periods that downside risk should be most prominent. We show that the absence of the riskreturn relationship in the high volatility state is due to leverage and volatility feedback effects
arising from increased persistence in volatility. To better filter out these effects, we propose a
simple modification that yields a positive tail risk-return relationship in all states of market
volatility. | en_GB |
dc.identifier.citation | Published online 10 June 2019. | en_GB |
dc.identifier.doi | 10.1080/14697688.2019.1614652 | |
dc.identifier.uri | http://hdl.handle.net/10871/37114 | |
dc.language.iso | en | en_GB |
dc.publisher | Taylor & Francis (Routledge) | en_GB |
dc.rights.embargoreason | Under embargo until 10 December 2020 in compliance with publisher policy. | en_GB |
dc.rights | © 2019 Informa UK Limited, trading as Taylor & Francis Group. | |
dc.subject | Downside risk | en_GB |
dc.subject | Tail risk | en_GB |
dc.subject | Markov switching | en_GB |
dc.subject | Value-at-Risk | en_GB |
dc.subject | Leverage effect | en_GB |
dc.subject | Volatility feedback effect | en_GB |
dc.title | Extreme downside risk and market turbulence | en_GB |
dc.type | Article | en_GB |
dc.date.available | 2019-05-15T13:15:29Z | |
dc.identifier.issn | 1469-7696 | |
dc.description | This is the author accepted manuscript. The final version is available from Taylor & Francis (Routledge) via the DOI in this record. | en_GB |
dc.identifier.journal | Quantitative Finance | en_GB |
dc.rights.uri | http://www.rioxx.net/licenses/all-rights-reserved | en_GB |
dcterms.dateAccepted | 2019-04-29 | |
rioxxterms.version | AM | en_GB |
rioxxterms.licenseref.startdate | 2019-04-29 | |
rioxxterms.type | Journal Article/Review | en_GB |
refterms.dateFCD | 2019-05-15T08:57:02Z | |
refterms.versionFCD | AM | |
refterms.panel | C | en_GB |