Lorán Chollete
University of Stavanger
38 Papers
150 Citations
Lorán Chollete is an academic researcher from University of Stavanger. The author has contributed to research in topics: Market liquidity & Downside risk. The author has an hindex of 10, co-authored 38 publications. Previous affiliations of Lorán Chollete include Norges Bank & University of St Andrews.
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Papers
Modeling International Financial Returns with a Multivariate Regime-switching Copula
TL;DR: In this paper, a multivariate regime-switching model of copulas is proposed to capture observed asymmetric dependence in international financial returns, and the model is applied to returns from the G5 and Latin American regions.
International diversification: A copula approach
TL;DR: In this paper, the authors examined international diversification using two measures of dependence: correlations and copulas, and found that dependence has increased over time and that there is no evidence of asymmetric dependence or downside risk in Latin America, but less in the G5.
Financial Distress and Idiosyncratic Volatility: An Empirical Investigation
Lorán Chollete,Jing Chen +1 more
TL;DR: This paper investigated the link between idiosyncratic volatility and distress risk and found that the effect of high volatility on high distress risk exists only conditionally on high risk stocks and used a corrected single-beta CAPM model to provide a rational explanation for the twin puzzles.
Financial distress and idiosyncratic volatility: An empirical investigation
TL;DR: In this article, the authors investigate the link between distress and idiosyncratic volatility and show that these puzzles are empirically connected, and can be explained by a simple, theoretical, single-beta CAPM model.
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International diversification: An extreme value approach.
TL;DR: In this paper, international diversification has costs and benefits, depending on the degree of asset dependence, and international investors demand some compensation for joint downside risk during extreme events, and they also suggest international limits to diversification, and that international investors need to be aware of their risks.
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