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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - In: Emerging markets review 11 (2010) 3, pp. 250-260
Persistent link: https://www.econbiz.de/10009301650
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Stock market volatility and exchange rates in emerging countries : a Markov-state switching approach
Walid, Chkili; Chaker, Aloui; Masood, Omar; Fry, John - In: Emerging markets review 12 (2011) 3, pp. 272-292
Persistent link: https://www.econbiz.de/10009306830
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Financial liberalization and stock markets efficiency : new evidence from emerging economies
Rejeb, Aymen Ben; Boughrara, Adel - In: Emerging markets review 17 (2013), pp. 186-208
Persistent link: https://www.econbiz.de/10010243088
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The Tunisian stock market index volatility : long memory vs. switching regime
Charfeddine, Lanouar; Ajmi, Ahdi Noomen - In: Emerging markets review 16 (2013), pp. 145-169
Persistent link: https://www.econbiz.de/10010243139
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Volatility transmission in regional Asian stock markets
Abbas, Qaisar; Khan, Sabeen; Ali Shah, Syed Zulfiqar - In: Emerging markets review 16 (2013), pp. 66-77
Persistent link: https://www.econbiz.de/10010243167
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Size, value, and momentum in emerging market stock returns
Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging markets review 16 (2013), pp. 46-65
Persistent link: https://www.econbiz.de/10010243168
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Exchange rate fluctuations and international portfolio rebalancing
Gyntelberg, Jacob; Loretan, Mico; Subhanij, Tientip; … - In: Emerging markets review 18 (2014), pp. 34-44
Persistent link: https://www.econbiz.de/10010417542
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Idiosyncratic volatility, stock market volatility, and expected stock returns
Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001985899
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Chacko, George - 1999
This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using … for stocks under stochastic volatility varies strongly with the investor's coefficient of relative risk aversion, but only … preference parameters. This paper also shows that stochastic variation in volatility produces an optimal intertemporal hedging …
Persistent link: https://www.econbiz.de/10012471407
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Dynamic linkage between the Chinese and global stock markets : a normal mixture approach
Wan, Li; Han, Liyan; Xu, Yang; Matousek, Roman - In: Emerging markets review 49 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10013272858