Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "10503"
  #_source: array:26 [
    "id" => "10503"
    "slug" => "modeling-market-downside-volatility"
    "yearMonth" => "2013-01"
    "year" => "2013"
    "title" => "Modeling Market Downside Volatility"
    "description" => "FEUNOU, B., JAHAN-PARVAR, M. et TÉDONGAP, R. (2013). Modeling Market Downside Volatility. <i>Review of Finance (ex European Finance Review)</i>, 17(1), pp. 443-481."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "TÉDONGAP Roméo"
        "bid" => "B00693411"
        "slug" => "tedongap-romeo"
      ]
      1 => array:1 [
        "name" => "FEUNOU Bruno"
      ]
      2 => array:1 [
        "name" => "JAHAN-PARVAR Mohammad"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2023-01-26 14:35:35"
    "publicationUrl" => "https://doi.org/10.1093/rof/rfr024"
    "publicationInfo" => array:3 [
      "pages" => "443-481"
      "volume" => "17"
      "number" => "1"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "We propose a new methodology for modeling and estimating time-varying downside risk and upside uncertainty in equity returns and for assessment of risk–return trade-off in financial markets. Using the salient features of the binormal distribution, we explicitly relate downside risk and upside uncertainty to conditional heteroskedasticity and asymmetry through binormal GARCH (BiN-GARCH) model. Based on S&P 500 and international index returns, we find strong empirical support for existence of significant relative downside risk, and robust positive relationship between relative downside risk and conditional mode."
      "en" => "We propose a new methodology for modeling and estimating time-varying downside risk and upside uncertainty in equity returns and for assessment of risk–return trade-off in financial markets. Using the salient features of the binormal distribution, we explicitly relate downside risk and upside uncertainty to conditional heteroskedasticity and asymmetry through binormal GARCH (BiN-GARCH) model. Based on S&P 500 and international index returns, we find strong empirical support for existence of significant relative downside risk, and robust positive relationship between relative downside risk and conditional mode."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-03T17:21:44.000Z"
    "docTitle" => "Modeling Market Downside Volatility"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/tedongap-romeo">TÉDONGAP Roméo</a>, FEUNOU Bruno, JAHAN-PARVAR Mohammad"
    "docDescription" => "<span class="document-property-authors">TÉDONGAP Roméo, FEUNOU Bruno, JAHAN-PARVAR Mohammad</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2013</span>"
    "keywordList" => ""
    "docPreview" => "<b>Modeling Market Downside Volatility</b><br><span>2013-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1093/rof/rfr024" target="_blank">Modeling Market Downside Volatility</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.697312
  +"parent": null
}