Using negative to low-correlated assets to manage short-term portfolio risk is not uncommon among investors, although the long-term benefits of this strategy remain unclear. This study examines the long-term benefits of the correlation strategy for portfolios based on the stock market in Asia,...

Emerging market economies were major beneficiaries of the economic boom before 2007. More recently, they have become victims of the global financial crisis. Their future development depends, to a large extent, on global economic prospects. Today the global economy and the European economy are...

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

On May 1, 2004, ten countries in Central, Eastern and Southern Europe will become full members of the EU. The parliaments and monetary authorities of the ten accession countries have already to a large extent adapted their legal and institutional structures to the new Europe-wide environment....

The goal ofthis comparative research isto investigate intra-market commonality inliquid-ity onsix small emerging Central and Eastern European (CEE) stock exchanges - inthe Czech Republic, Hungary, Slovakia, Lithuania, Estonia, and Latvia. The CEE post-commu-nist countries can beanalyzed together...

This paper introduces a model, based on the Kalman filter framework, which allows for latent factors, time varying parameters, and a general GARCH structure for the residuals, extending the Bekaert and Harvey (1997) model. With this extension it is possible to test if an emerging stock market...

The so-called German Dominance Hypothesis (GDH) claimed that Bundesbank policies were transmitted into other European Monetary System (EMS) interest rates during the pre-euro era. We reformulate this hypothesis for the Central and Eastern European (CEE) countries that are on the verge of...

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

On May 1, 2004, ten countries in Central, Eastern and Southern Europe will become full members of the EU. The parliaments and monetary authorities of the ten accession countries have already to a large extent adapted their legal and institutional structures to the new Europe-wide environment....

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...