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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 …

Persistent link: https://www.econbiz.de/10011841506

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

Time-varying correlations and optimal allocation in emerging market equities for the US investors

Cha, Heung-Joo; Jithendranathan, Thadavillil - In: International journal of finance & economics : IJFE 14 (2009) 2, pp. 172-187

Persistent link: https://www.econbiz.de/10003824847

Are emerging markets relevant for portfolio diversification?

Kumar, S. S. S. - In: Review of market integration 3 (2011) 2, pp. 103-119

Persistent link: https://www.econbiz.de/10009507759

Volatility transmission and spillovers among gold, bonds and stocks : an empirical evidence from Turkey

Gencer, Hatice Gaye; Musoglu, Zafer - In: International journal of economics and financial issues … 4 (2014) 4, pp. 705-713

Persistent link: https://www.econbiz.de/10010527321

Can advanced markets help diversify risks in frontier stock markets? : evidence from Gulf Arab stock markets

Demirer, Rıza - In: Research in international business and finance 29 (2013), pp. 77-98

Persistent link: https://www.econbiz.de/10009759908

Dynamic asset allocation strategies based on unexpected volatility

Zakamulin, Valeriy - In: The journal of alternative investments 16 (2013/14) 4, pp. 37-50

Persistent link: https://www.econbiz.de/10010358816

Can we still benefit from international diversification? : the case of the Czech and German stock markets

Avdulaj, Krenar; Barunik, Jozef - In: Finance a úvěr 63 (2013) 5, pp. 425-442

Persistent link: https://www.econbiz.de/10010244836

Return and volatility transmission between gold and stock sectors : application of portfolio management and hedging effectiveness

Kumar, Dilip - In: IIMB management review 26 (2014) 1, pp. 5-16

Persistent link: https://www.econbiz.de/10010383433

Volatility managed portfolios

Moreira, Alan; Muir, Tyler - 2016

Persistent link: https://www.econbiz.de/10011484111

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