AVDULAJ, Krenar; BARUNIK, Jozef - In: Czech Journal of Economics and Finance (Finance a uver) 63 (2013) 5, pp. 425-442
One of the findings of the recent literature is that the 2008 financial crisis caused a reduction in international diversification benefits. To fully understand the potential of diversification, we build an empirical model which combines generalized autoregressive score copula functions with...