fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular … investable equity indices in the period of 2000-2015. Such an approach is proposed to estimate an equity risk premium for a … years we illustrate the importance of model risk and data overfitting effects when drawing conclusions upon results of …

lower risk level and the reverse is true at a higher risk level. Our SD analysis shows that there is no arbitrage … opportunity between international and domestic stock markets; domestically diversified portfolios with smaller risk dominate … internationally diversified portfolios with larger risk and vice versa; and at the same risk level, there is no difference between the …

-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention … given to emerging markets that offer higher risk-adjusted returns relative to developed markets. However, despite the …:01-2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

multivariate GARCH models. Our results indicate that the risk spillover has reached the highest level during the COVID-19 period …, compared to the pre-COVID period, which means that the COVID-19 pandemic enforced the risk spillover between U.S. stock markets … managers and investors to reduce their exposure to the risk in their portfolio construction. …