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Australia's equity home bias and real exchange rate volatility
Mishra, Anil V. - In: Review of quantitative finance and accounting 37 (2011) 2, pp. 223-244
Persistent link: https://www.econbiz.de/10009271469
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Asymetric Dependence in Finance : Diversification, Correlation and Portfolio Management in Market Downturns
Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018
-- References -- Further Reading -- Chapter 4: Misspecification in an Asymmetrically Dependent World: Implications for Volatility … Investor's Utility Function -- 11.4 Results -- 11.4.1 Efficient Frontiers, E (R) vs. CVaR -- 11.4.2 Out-of-Sample Portfolio …
Persistent link: https://www.econbiz.de/10011841506
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Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns
Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018
"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...
Persistent link: https://www.econbiz.de/10011761934
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Essays in international finance : risk, jumps and diversification
M'Saddek, Oussama - 2018
Persistent link: https://www.econbiz.de/10012204650
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The degree of home bias in the holding of share portfolio : case of American investors
Chniguir, Mounira; Sghaier, Asma; Soufeljil, Mohamed; … - In: International journal of sustainable economies … 6 (2017) 3, pp. 10-25
Persistent link: https://www.econbiz.de/10011734713
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Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
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Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach
Karmakar, Madhusudan; Paul, Samit - In: International journal of forecasting 35 (2019) 2, pp. 699-709
Persistent link: https://www.econbiz.de/10012300717
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The determinants of home bias puzzle in equity portfolio investment in Australia
Daly, Kevin James; Xuan Vinh Vo - In: International review of financial analysis 27 (2013), pp. 34-42
Persistent link: https://www.econbiz.de/10009736951
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The reality of stock market jumps diversification
Chen, Mark Ke; Vitiello, Luiz; Hyde, Stuart; Poon, Ser-Huang - In: Journal of international money and finance 86 (2018), pp. 171-188
Persistent link: https://www.econbiz.de/10012000491
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FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
Bouri, Elie; Kamal, Elham; Kinateder, Harald - In: Finance research letters 56 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014473652