Heteroskedasticity (MGARCH) model with BEKK, diagonal, Constant Conditional Correlation (CCC), and finally, Dynamic Conditional … Correlation (DCC) specifications. DCC model outperforms among others and identifies two diversification opportunities with Mexican …China is considered the largest emerging economy and thus investors perceived as an attractive investment. We examine …

diversification and risk management. The study calculates the effectiveness of hedging equities portfolios between markets, using the … US market does not provide a superior hedging ratio for Asia-Pacific nations. For other stock markets, India, Hong Kong …Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the …

stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the … global financial crisis. During the Chinese crash, the volatility spillover is bidirectional between the China and Brazil …This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging …. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The … US financial crisis. For the majority of the Asia-China portfolios, the optimal weights of the Chinese stocks were almost …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

, crude oil, gold and currency compared to commodities, bonds and real estate. Furthermore, we test the effective hedging … ability of these funds by estimating hedge ratios and optimal portfolio weights. Taking a short position in the volatility of … the funds provides impeccable hedging effectiveness for all asset classes, except currency …

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …

model also provides better value at risk performance results and hedging effectiveness. These results have several important …