Asymmetric jump beta estimation with implications for portfolio risk management

Alexeev, Vitali, Urga, Giovanni and Yao, Wenying 2019, Asymmetric jump beta estimation with implications for portfolio risk management, International review of economics and finance, vol. 62, pp. 20-40, doi: 10.1016/j.iref.2019.02.014.

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Title Asymmetric jump beta estimation with implications for portfolio risk management
Author(s) Alexeev, Vitali
Urga, Giovanni
Yao, WenyingORCID iD for Yao, Wenying orcid.org/0000-0001-6368-0160
Journal name International review of economics and finance
Volume number 62
Start page 20
End page 40
Total pages 21
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2019-07
ISSN 1059-0560
Keyword(s) Asymmetric jumps
Systematic risk
Portfolio diversification
Value-at-Risk
Language eng
DOI 10.1016/j.iref.2019.02.014
Field of Research 1402 Applied Economics
1502 Banking, Finance And Investment
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2019, Elsevier Inc.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30119660

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
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