Feunou, Bruno; Jahan-Parvar, Mohammad R.; Tédongap, Roméo - In: Review of Finance 17 (2013) 1, pp. 443-481
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...