Tee, Kai-Hong - In: International Review of Financial Analysis 18 (2009) 5, pp. 303-310
The concept of asymmetric risk estimation has become more widely applied in risk management in recent years with the increased use of Value-at-risk (VaR) methodologies. This paper uses the n-degree lower partial moment (LPM) models, of which VaR is a special case, to empirically analyse the...