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• W3132020126 endingPage "101623" @default.
• W3132020126 startingPage "101623" @default.
• W3132020126 abstract "In this study, we investigate the interactions of daily tail risk estimates of thirty market indices representing a broad spectrum of asset classes and geographies from 2003 till 2021 and document important findings. Using a step-by-step conditional copula with orthogonalized GARCH margins augmented further with Markov-switching transitions, we study the dependence structure across the asset classes. Our results predominantly indicate the presence of contagion in tail risk across assets and geographies, especially during economy-wide stress. Our results suggest that alternative asset classes are crucial in mitigating overall portfolio risk. Our results also show the magnitude of tail risk contagion amongst countries studied." @default.
• W3132020126 created "2021-03-01" @default.
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• W3132020126 date "2022-09-01" @default.
• W3132020126 modified "2023-10-12" @default.
• W3132020126 title "Portfolio risk and stress across the business cycle" @default.
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• W3132020126 doi "https://doi.org/10.1016/j.intfin.2022.101623" @default.
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