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• W2094888230 abstract "This paper proposes a binary response model approach to measure and forecast extreme downside risks in Asia-Pacific markets given information on extreme downside risks in the U.S. and Japanese markets. The extreme downside risk of a market is measured as the occurrence of extreme downside movement—market returns falling below left-tail Value at Risk in a Markov switching framework. The empirical findings are consistent with the following notions. First, extreme downside movements of the S&P 500 and Nikkei 225 are significantly predictive for the likelihood of extreme downside movements in all the investigated Asia-Pacific markets. Second, the majority of Asia-Pacific markets become more sensitive to Japan's extreme downside risk when the Japanese market switches into high volatility periods, whereas the U.S. spillover effect is intensified only on Taiwan during high volatility periods in the U.S. Third, mainland China is the least sensitive to extreme downside risk in the U.S. and Japan, Australia is the most sensitive to the U.S., and Singapore is the most sensitive to Japan." @default.
• W2094888230 created "2016-06-24" @default.
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• W2094888230 date "2014-05-01" @default.
• W2094888230 modified "2023-09-30" @default.
• W2094888230 title "Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets" @default.
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• W2094888230 doi "https://doi.org/10.1016/j.irfa.2013.07.009" @default.
• W2094888230 hasPublicationYear "2014" @default.
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