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Exchange rate uncertainty and international portfolio flows : a multivariate GARCH-in-mean approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - In: Journal of international money and finance 54 (2015), pp. 70-92

Persistent link: https://www.econbiz.de/10011476078

Analyse des Risikos bei "Emerging markets": Investments durch Simulation des Portfolio Management-Prozesses

Poddig, Thorsten; Dichtl, Hubert - In: Datamining und computational finance : Ergebnisse des …, (pp. 171-202). 2000

Persistent link: https://www.econbiz.de/10001484309

Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets

Ananchotikul, Nasha - 2014

In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global “push” factors. To what extent do these cross-border flows and global risk...

Persistent link: https://www.econbiz.de/10013047615

Idiosyncratic risk and spillover effect in REIT returns

Hui, Eddie Chi Man; Wang, Ziyou - In: International journal of strategic property management 22 (2018) 6, pp. 457-470

Persistent link: https://www.econbiz.de/10011998439

Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors

Schröder, Michael - 2000

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...

Persistent link: https://www.econbiz.de/10011444904

Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets

Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48

Persistent link: https://www.econbiz.de/10010520085

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - In: Journal of empirical finance 24 (2013), pp. 121-137

Persistent link: https://www.econbiz.de/10010371985

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012

currencies. In this framework, we focus on the risk spillovers across equities within the same sector (sector spillover), and … from currencies to international equities (currency spillover). We compare these specific risk spillovers to a more general … shows that considering only sector- and currency-risk spillovers, rather than full spillovers, improves performance, both in …

Persistent link: https://www.econbiz.de/10010407672

Assessing downside and upside risk spillovers across conventional and socially responsible stock markets

Ben Ameur, Hachmi; Jawadi, Fredj; Jawadi, Nabila; … - In: Economic modelling 88 (2020), pp. 200-210

Persistent link: https://www.econbiz.de/10012417068