I explore the benefits of incorporating conditional higher moments in the international portfolio allocation. The quantile-based conditional higher moments are robust to the outliers and exhibit considerable time-variation and heterogeneity across countries. My empirical evidence shows that...

We provide the first study on systemic risk of banking sector in the ASEAN-6 countries. In particular, we investigate the systemic risk dynamics and determinants of 49 listed banks in the region using the SRISK measure of Brownlees and Engle (2017) over the 2000-18 period. We document...

We investigate how to best model skewness for portfolio choice decisions. To this end, we compare the predictive ability and portfolio performance of several prominent skewness models in a sample of ten international equity market indices. Overall, models that employ information from the option...