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ArticleCorrelation dynamics and international diversification benefits

Peter Christoffersen2014

OA

Articlegreen2014

Correlation dynamics and international diversification benefits

Peter Christoffersen · Vihang R. Errunza · Kris Jacobs · Xisong Jin

34 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1952PORTFOLIO SELECTION*2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1993Measuring and Testing the Impact of News on Volatility 1995Is the correlation in international equity returns constant: 1960–1990?2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 1998Modeling Asymmetric Comovements of Asset Returns 2000Asymmetric Volatility and Risk in Equity Markets

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2014Correlation Dynamics and International Diversification Benefitsarticle · 18 shared references 2010Is the Potential for International Diversification Disappearing?preprint · 16 shared references 2016Do oil producing countries offer international diversification benefits? Evidence from GCC countriesarticle · 11 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 10 shared references 2005Volatility Forecastingreport · 10 shared references 2005Volatility Transmission Models: A Surveypreprint · 10 shared references

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Year2014

Typearticle

Published2014-02-28

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations34

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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openalex_workW1515763608

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