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We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We...
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used by portfolio managers in portfolio construction: the marginal VaR and the marginal AVaR. We illustrate the proposed …
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