Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs linked to the stock indexes of Germany, Spain,...

This paper estimates the volatility of most important European stock market indices during the global financial crisis started in 2008, such as DAX, CAC40, FTSE100, among others. The estimation of volatility is made from a new family of stochastic volatility models proposed by Santos, Franco,...

This study uses data on 27 European stock indices over the period from January 2007 to December 2012 to investigate the relationship between innovations and the market reaction to negative news during the financial crisis. We use the bivariate BEKK-GARCH approach to estimate time-varying betas...