Asymmetry and downside risk in foreign exchange markets
本文用双伽马分布建模金融数据条件分布的不对称性，应用于十个成熟和新兴市场汇率序列，并计算条件下行风险，发现马来西亚林吉特、津巴布韦元和韩元在新兴市场货币危机期间下行波动极端。
Abstract This paper evaluates the double gamma distribution as a means of modelling asymmetry in the conditional distribution of financial data. To do this the model is applied to ten exchange rate series covering mature and emerging market countries. A second contribution of this paper is to highlight the link between the double gamma distribution and the measurement of the second lower partial moment (or semi-variance). The resulting empirical performance of the double gamma model is found to be mixed when compared to a symmetric GARCH-t model. Estimates of conditional downside risk based on the double gamma model are constructed for each series. The results for the Malaysian Riggit, Zimbabwe Dollar and the Korean Won demonstrate the extreme downside volatility experienced by these countries during the emerging markets currency crisis.