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Who Tames the Celtic Tiger? Portfolio Implications from aMultivariate Markov Switching Model
Guidolin, Massimo; Hyde, Stuart - Manchester Business School - 2006
We use multivariate regime switching vector autoregressive models to characterize the time-varyinglinkages among the Irish stock market, one of the top world performers of the 1990s, and the US andUK stock markets. We ¯nd that two regimes, characterized as bear and bull states, are required...
Persistent link: https://www.econbiz.de/10005869997
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Time and Risk Diversification in Real EstateInvestments: Assessing the Ex Post EconomicValue
Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - Manchester Business School - 2009
Welfare gains to long-horizon investors may derive from time diversification that exploits non-zerointertemporal return … correlated. While it could be important for long horizon investors,time diversification has been mostly investigated in asset … diversification when E-REITs belong to theinvestment opportunity set. We find that diversification into REITs increases both the …
Persistent link: https://www.econbiz.de/10005870699