Risk spillovers and portfolio management between developed and BRICS stock markets
Year of publication: |
July 2017
|
---|---|
Authors: | Mensi, Walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 41.2017, p. 133-155
|
Subject: | Stock markets | Volatility | Time-varying hedge ratios | Downside risk | Multivariate DECO-FIEGARCH | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Volatilität | Hedging | ARCH-Modell | ARCH model | BRICS-Staaten | BRICS countries | Industrieländer | Industrialized countries | Börsenkurs | Share price | Schätzung | Estimation | Risikomaß | Risk measure | Risiko | Risk | Spillover-Effekt | Spillover effect |
-
On equity risk prediction and tail spillovers
Pouliasis, Panos, (2017)
-
Gatfaoui, Hayette, (2013)
-
Stock market spillovers of global risks and hedging opportunities
Salachas, Evangelos, (2024)
- More ...
-
Mensi, Walid, (2015)
-
Mensi, Walid, (2021)
-
Mensi, Walid, (2020)
- More ...