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...

This paper proposes an original procedure which allows for testing of Granger-causality for multiple risk levels across tail distributions, hence extending the procedure proposed by Hong et al. (2009). Asymptotic and finite sample properties of the test are considered. This new Granger-causality...

The paper examines risk spillover among major European, American and Japanese stock exchanges using daily stock prices from 1998 to 2011 period. More specifically, we focus more on risk spillover among major north-western stock markets (i.e. France, Germany, and United Kingdom) and southern...