Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …

decomposing portfolio log-returns into an average growth and an excess growth component. Using a rank-based empirical study we … argue that the excess growth component plays the major role in explaining the outperformance of naïve portfolios. In … particular, individual stock growth rates are not as critical as is traditionally assumed …

misattribution between ‘rebalancing returns' which are specific to the act of rebalancing, and ‘diversification returns' which can be … insufficient diversification and excessive transactions costs …

This paper presents a new volatility model with time-varying volatility persistence (TVP) that is governed by the … application to the U.S. stock market, we show that volatility persistence is positively related to realized volatility and that it …

This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India …, Japan, and Singapore) stock markets. During the sample period, these emerging markets have experienced both rapid growth and … volatility. Finally, the Vector Autoregressive (VAR) model is used to study the transmission dynamics in the presence of …

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when … GARCH systems to model the volatility of the FTSE 100 Implied Volatility Index (IV). We use GARCH, EGARCH, GJR-GARCH and … other asymmetric models unless there is exceptionally high volatility such as the crisis of 2008 in which case EGARCH …