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Asymmetric ambiguity spillover among international equity markets

Qin, Xiao; Wang, Yuwen - In: Applied economics letters 30 (2023) 13, pp. 1843-1849

Persistent link: https://www.econbiz.de/10014305155

Institutional investors, information and international assets

Ramadorai, Tarun - 2003

Persistent link: https://www.econbiz.de/10003624540

International investments

Solnik, Bruno; Solnik, Bruno - 2000 - 4. ed.

Persistent link: https://www.econbiz.de/10001395426

Multivariate Dependence Risk and Portfolio Selection : An Application to International Stock Portfolio

Simo-Kengne, Beatrice - 2016

This study analyses the risk dependence of international stock portfolio based on three risk metrics, namely, the portfolio expected return, CVaR, and the Sharp ratio. The portfolio is optimised under both multivariate GARCH models (DCC and GO-CARCH) and the copula approaches (Student t...

Persistent link: https://www.econbiz.de/10012980838