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This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly...
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diversification and risk management. The study calculates the effectiveness of hedging equities portfolios between markets, using the … US market does not provide a superior hedging ratio for Asia-Pacific nations. For other stock markets, India, Hong Kong …, and New Zealand have the best hedge ratios, portfolio weights, and hedging efficacy. Finally, this research raised the …
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