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Time-varying integration and international diversification strategies
Baele, Lieven; Inghelbrecht, Koen - In: Journal of empirical finance 16 (2009) 2, pp. 368-387
Persistent link: https://www.econbiz.de/10003856779
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The downside risk of heavy tails induces low diversification
Hyung, Namwon; Vries, Casper G. de - 2010
diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about …
Persistent link: https://www.econbiz.de/10011381335
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Is idiosyncratic risk priced? : the international evidence
Brockman, Paul; Guo, Tao; Vivero, Maria Gabriela; Yu, Wayne - In: Journal of empirical finance 66 (2022), pp. 121-136
Persistent link: https://www.econbiz.de/10013370669
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The diversification benefits and policy risks of accessing China's stock market
Shan, Chenyu; Tang, Dragon Yongjun; Wang, Sarah Qian; … - In: Journal of empirical finance 66 (2022), pp. 155-175
Persistent link: https://www.econbiz.de/10013370737
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Aggregating credit and market risk : the impact of model specification
Lucas, André; Verhoef, Bastiaan - 2012
Persistent link: https://www.econbiz.de/10010191011
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Risk diversification by European financial conglomerates
Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - 2005
Persistent link: https://www.econbiz.de/10003233496
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Equity premium prediction and the state of the economy
Tsiakas, Ilias; Li, Jiahan; Zhang, Haibin - In: Journal of empirical finance 58 (2020), pp. 75-95
Persistent link: https://www.econbiz.de/10012430664
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A model-independent measure of aggregate idiosyncratic risk
Bali, Turan G.; Cakici, Nusret; Levy, Haim - In: Journal of empirical finance 15 (2008) 5, pp. 878-896
Persistent link: https://www.econbiz.de/10003776398
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Prediciting the daily covariance matrix for S&P 100 stocks using intraday data - but which frequency to use?
Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2005
Persistent link: https://www.econbiz.de/10003155816
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Model averaging in risk management with an application to futures markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - In: Journal of empirical finance 16 (2009) 2, pp. 280-305
Persistent link: https://www.econbiz.de/10003839329