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The risk-return tradeoff in international stock markets : one-step multivariate GARCH-M estimation with many assets

Dhaene, Geert; Sercu, Piet; Wu, Jianbin - 2016

Persistent link: https://www.econbiz.de/10011707065

On the dynamic interdependence of international stock markets : a Swiss perspective

Isakov, Dušan; Pérignon, Christophe - 1999

Persistent link: https://www.econbiz.de/10001488308

Time series momentum

Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje - In: Journal of financial economics 104 (2012) 2, pp. 228-250

Persistent link: https://www.econbiz.de/10009621174

Dating the integration of world equity markets

Bekaert, Geert; Harvey, Campbell R.; Lumsdaine, Robin L. - In: Journal of financial economics 65 (2002) 2, pp. 203-247

Persistent link: https://www.econbiz.de/10001693005

Modelling co-movements and tail dependency in the international stock market via copulae

Ignatieva, Katja; Platen, Eckhard - In: Asia-Pacific financial markets 17 (2010) 3, pp. 261-302

Persistent link: https://www.econbiz.de/10009237110

Dating the Integration of World Equity Markets

Bekaert, Geert - 1998

Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which appear comprehensive may have little impact on the functioning of the capital market if they fail to lead to foreign portfolio inflows. In contrast to the usual practice of...

Persistent link: https://www.econbiz.de/10012472089