Basu, Devraj; Oomen, Roel; Stremme, Alexander - In: Journal of Business Finance & Accounting 37 (2010-07) 7-8, pp. 1008-1025
The presence of time varying investment opportunity sets has been documented in the context of international asset allocation, and the economic value associated with these is a topic of lively debate in the academic literature. This paper constructs simple, real-time dynamic international asset...