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Persistent link: https://www.econbiz.de/10003639189
We construct a state-dependent trivariate GARCH-M model to extract state-dependent risk-aversion coefficients around the 1997-1999 financial meltdown. These coefficients are further used to decompose sector risk into global (systematic), country-specific (diversifiable through global country...
Persistent link: https://www.econbiz.de/10013153050