1. Asset allocation in extreme market conditions: a comparative analysis between developed and emerging economies. (2021). Bonga-Bonga, Lumengo ; Muteba, John Weirstrass ; Montshioa, Keitumetse.
   In: MPRA Paper.
   RePEc:pra:mprapa:106248.

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2. How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature. (2021). Arnaut-Berilo, Almira ; Omanovic, Adna ; Zaimovic, Azra.
   In: JRFM.
   RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:551-:d:679488.

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3. Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach. (2019). Kumar, Satish ; Tiwari, Aviral Kumar ; Ji, Qiang ; Chauhan, Yogesh.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:63:y:2019:i:c:p:273-284.

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4. The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach. (2018). Reboredo, Juan C ; Ugolini, Andrea .
   In: Energy Economics.
   RePEc:eee:eneeco:v:76:y:2018:i:c:p:136-152.

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5. Banking industry performance in the wake of the global financial crisis. (2016). Ramos, Sofia ; Bhimjee, Diptes ; Dias, Jose G.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:48:y:2016:i:c:p:376-387.

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6. An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries. (2015). Ghassan, Hassan ; Balli, Faruk ; Alhajhoj, Hassan R. ; Basher, Syed Abul.
   In: MPRA Paper.
   RePEc:pra:mprapa:63860.

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7. An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries. (2015). Ghassan, Hassan ; Balli, Faruk ; Basher, Syed ; Abul, Basher Syed .
   In: MPRA Paper.
   RePEc:pra:mprapa:63847.

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8. The transmission of market shocks and bilateral linkages: Evidence from emerging economies. (2015). Balli, Hatice ; Vo, Tuan Kiet ; Louis, Rosmy Jean.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:42:y:2015:i:c:p:349-357.

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9. Is there dependence and systemic risk between oil and renewable energy stock prices?. (2015). Reboredo, Juan.
   In: Energy Economics.
   RePEc:eee:eneeco:v:48:y:2015:i:c:p:32-45.

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10. Dependence between Extreme Events in the Real and Financial Sectors. (2014). Lu, Ching-Chih ; Chollete, Loran ; Ismailescu, Iuliana.
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2014_012.

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11. Semiparametric estimation of multi-asset portfolio tail risk. (2014). Dias, Alexandra .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:49:y:2014:i:c:p:398-408.

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12. Is gold a hedge or safe haven against oil price movements?. (2013). Reboredo, Juan.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:38:y:2013:i:2:p:130-137.

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13. A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach. (2013). Wu, Jyh-lin ; Lai, Yi-Hao ; Wang, Yi-Chiuan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:5:p:1706-1719.

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14. Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013). Sghaier, Nadia ; Boubaker, Heni.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:361-377.

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15. Portfolio selection: An extreme value approach. (2013). DiTraglia, Francis ; Gerlach, Jeffrey R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:305-323.

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16. International diversification: An extreme value approach. (2012). Lu, Ching-Chih ; de la Pea, Victor ; Chollete, Lorn .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:871-885.

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17. Do food and oil prices co-move?. (2012). Reboredo, Juan.
    In: Energy Policy.
    RePEc:eee:enepol:v:49:y:2012:i:c:p:456-467.

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18. A Model of Endogenous Extreme Events. (2011). Chollete, Loran .
    In: UiS Working Papers in Economics and Finance.
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19. How do crude oil prices co-move?: A copula approach. (2011). Reboredo, Juan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:5:p:948-955.

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20. Extreme value theory for finance: a survey. (2011). Rocco, Marco .
    In: Questioni di Economia e Finanza (Occasional Papers).
    RePEc:bdi:opques:qef_99_11.

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21. Dependence structure between the equity market and the foreign exchange market-A copula approach. (2010). Ning, Cathy.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:5:p:743-759.

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22. Dependence structure of risk factors and diversification effects. (2010). Zhou, Chen.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:3:p:531-540.

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23. Distribution of extreme changes in Asian currencies: tail index estimates and value-at-risk calculations. (2009). Aggarwal, Raj ; Qi, Min .
    In: Applied Financial Economics.
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24. The Diversification Potential Offered by Emerging Markets in Recent Years. (2009). Camilleri, Silvio ; Galea, Gabriella .
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25. International Diversification: An Extreme Value Approach. (2009). Lu, Ching-Chih ; de la Pena, Victor ; Chollete, Loran .
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2009_026.

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26. Dependence structure of risk factors and diversification effects. (2009). Zou, Chen .
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27. Is co-skewness a better measure of risk in the downside than downside beta?: Evidence in emerging market data. (2007). Galagedera, Don ; Brooks, Robert.
    In: Journal of Multinational Financial Management.
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28. Varying the VaR for unconditional and conditional environments. (2007). cotter, john.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:26:y:2007:i:8:p:1338-1354.

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29. Portfolio selection with heavy tails. (2007). de Vries, Casper ; Hyung, Namwon.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:3:p:383-400.

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30. An alternative perspective on the relationship between downside beta and CAPM beta. (2007). Galagedera, Don.
    In: Emerging Markets Review.
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31. Large Swings in Currencies driven by Fundamentals. (2006). de Vries, Casper ; Cumperayot, Phornchanok .
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32. Portfolio implications of systemic crises. (2006). Verbeek, Marno ; Kole, Erik ; Koedijk, Kees .
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33. Price and Volatility Transmission across Borders. (2006). Karolyi, G. ; Gagnon, Louis .
    In: Working Paper Series.
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34. Safety-first portfolio optimization for US investors in emerging global, Asian and Latin American markets. (2004). Varela, Oscar ; Hassan, M. Kabir ; Haque, Mahfuzul.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:12:y:2004:i:1:p:91-116.

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35. Emerging markets finance. (2003). Harvey, Campbell ; Bekaert, Geert.
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1. Crash Sensitivity and the Cross-Section of Expected Stock Returns. (2016). Ruenzi, Stefan ; Weigert, Florian.
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2. MEASURING OPERATIONAL RISK EXPOSURES IN ISLAMIC BANKING: A PROPOSED MEASUREMENT APPROACH. (2015). Izhar, Hylmun .
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3. Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon. (2015). Lejeune, Thomas ; Hübner, Georges ; Hubner, Georges .
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4. Probabilistic dominance and status quo bias. (2014). Teper, Roee ; Riella, Gil.
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5. A semiparametric approach to value-at-risk, expected shortfall and optimum asset allocation in stock–bond portfolios. (2014). Silvapulle, Mervyn ; Chen, Xiangjin B..
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6. The cross-section of tail risks in stock returns. (2013). Zhou, Chen ; Moore, Kyle ; de Vries, Casper ; Sun, Pengfei.
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   RePEc:pra:mprapa:45592.

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7. The drivers of downside equity tail risk. (2013). Zhou, Chen ; Moore, Kyle ; de Vries, Casper ; Sun, Pengei .
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8. A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios. (2013). Silvapulle, Mervyn ; Chen, Xiangjin B..
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9. Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013). Sghaier, Nadia ; Boubaker, Heni.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:37:y:2013:i:2:p:361-377.

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10. Portfolio selection: An extreme value approach. (2013). DiTraglia, Francis ; Gerlach, Jeffrey R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:305-323.

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11. Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks. (2013). Hammoudeh, Shawkat ; Al-Hassan, Abdullah ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: The North American Journal of Economics and Finance.
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12. Extreme downside risk and expected stock returns. (2012). Wu, Feng ; Huang, Wei ; Liu, Qianqiu ; Rhee, Ghon S..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:5:p:1492-1502.

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13. Safety first portfolio choice based on financial and sustainability returns. (2012). Utz, Sebastian ; Dorfleitner, Gregor.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:221:y:2012:i:1:p:155-164.

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14. Simulating and calibrating diversification against black swans. (2012). de Vries, Casper ; Hyung, Namwon.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:8:p:1162-1175.

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15. Mean-VaR Portfolio Selection Under Real Constraints. (2011). Fernandez-Blanco, Matilde.
    In: Computational Economics.
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16. Extreme value theory for finance: a survey. (2011). Rocco, Marco .
    In: Questioni di Economia e Finanza (Occasional Papers).
    RePEc:bdi:opques:qef_99_11.

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17. The Downside Risk of Heavy Tails induces Low Diversification. (2010). de Vries, Casper G. ; Hyung, Namwon.
    In: Tinbergen Institute Discussion Papers.
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18. Dependence structure of risk factors and diversification effects. (2010). Zhou, Chen.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:3:p:531-540.

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19. The safety first expected utility model: Experimental evidence and economic implications. (2009). Levy, Moshe.
    In: Journal of Banking & Finance.
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20. Dependence structure of risk factors and diversification effects. (2009). Zou, Chen .
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21. Downside Risk Efficiency Under Market Distress. (2009). Olmo, Jose ; Gonzalo, Jesus.
    In: UC3M Working papers. Economics.
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22. Shareholders’ expectations, aspiration levels, and mergers. (2008). Weitzel, Utz ; van de Ven, Jeroen ; Diecidue, Enrico.
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23. Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. (2008). Jørgensen, Bjørn ; de Vries, Casper ; Danielsson, Jon.
    In: Annals of Finance.
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24. Testing downside risk efficiency under market distress. (2008). Olmo, Jose ; Gonzalo, Jesus.
    In: UC3M Working papers. Economics.
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25. Weighting Function in the Behavioral Portfolio Theory.. (2007). Bourachnikova, Olga.
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26. Safety-first and extreme value bilateral U.S.-Mexican portfolio optimization around the peso crisis and NAFTA in 1994. (2007). Varela, Oscar ; Hassan, M. Kabir ; Haque, Mahfuzul.
    In: The Quarterly Review of Economics and Finance.
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27. Revisiting the home bias puzzle: Downside equity risk. (2007). Kräussl, Roman ; Pownall, Rachel ; Campbell, Rachel A. ; Kraussl, Roman.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:26:y:2007:i:7:p:1239-1260.

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28. Portfolio selection with heavy tails. (2007). de Vries, Casper ; Hyung, Namwon.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:3:p:383-400.

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29. Weighting function in the behavioral portfolio theory. (2007). Bourachnikova, Olga.
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30. The impact of heavy tails and comovements in downside-risk diversification. (2007). Olmo, Jose ; Gonzalo, Jesus.
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31. Revisiting the home bias puzzle: Downside equity risk. (2006). Kräussl, Roman ; Pownall, Rachel ; Campbell, Rachel A. ; Kraussl, Roman.
    In: CFS Working Paper Series.
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32. Portfolio Selection under Maximum Minimum Criterion. (2006). Ding, Yuanyao .
    In: Quality & Quantity: International Journal of Methodology.
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33. Price and Volatility Transmission across Borders. (2006). Karolyi, G. ; Gagnon, Louis .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-5.

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34. Théorie comportementale du portefeuille. Intérêt et limites. (2006). ROGER, Patrick ; MERLI, Maxime ; Broihanne, Marie-Hélène.
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35. Portfolio Diversification Effects of Downside Risk. (2005). de Vries, Casper ; Hyung, Namwon.
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36. Household Portfolio Diversification: A Case for Rank-Dependent Preferences. (2005). Polkovnichenko, Valery.
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37. The econometrics of efficient portfolios. (2005). Monfort, Alain ; gourieroux, christian.
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38. Downside risk for European equity markets. (2004). cotter, john.
    In: Applied Financial Economics.
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39. Downside Risk for European Equity Markets. (2004). cotter, john.
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40. Safety-first portfolio optimization for US investors in emerging global, Asian and Latin American markets. (2004). Varela, Oscar ; Hassan, M. Kabir ; Haque, Mahfuzul.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:12:y:2004:i:1:p:91-116.

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41. Subsampling the distribution of diverging statistics with applications to finance. (2004). White, Halbert ; Haefke, Christian ; Bertail, Patrice ; Politis, D. N. Dimitris N., .
    In: Journal of Econometrics.
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42. Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation. (2001). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Bjørn N. Jorgensen, ; Yang, Xiaogang ; Jón Daníelsson, .
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43. Extreme observations and diversification in Latin American emerging equity markets. (2001). Susmel, Raul .
    In: Journal of International Money and Finance.
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44. Optimal portfolio selection in a Value-at-Risk framework. (2001). Huisman, Ronald ; Pownall, Rachel ; Koedijk, Kees .
    In: Journal of Banking & Finance.
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45. Contemporaneous asymmetry in GARCH processes. (2001). Zakoian, Jean-Michel ; El Babsiri, Mohamed ; ELBABSIRI, Mohamed .
    In: Journal of Econometrics.
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46. HEURISTIC APPROACHES FOR PORTFOLIO OPTIMIZATION. (2000). Gilli, Manfred.
    In: Computing in Economics and Finance 2000.
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