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A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
16 references·1 citing·35 second hop
A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods (2006)A re-examination of international portfol…Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Investigating Causal Relation…Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application (2006)Tests for causality between i…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…International Diversification of Investment Portfolios (1970)International Diversification…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Mutual Fund Performance (1966)Mutual Fund PerformanceLiquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage (2012)Are there benefits to being n…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Energy consumption, carbon emissions, and economic growth in China (2009)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Causal Ordering and Identifiability (1977)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site (2009)Testing for Granger non-causality in heterogeneous panels (2012)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Oil and the Macroeconomy since World War II (1983)Competition and Financial Stability (2004)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Efficient Capital Markets: II (1991)
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References

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  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
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  • 1966Mutual Fund Performance3,932 cited
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  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
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  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited

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  • 2006Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application713 cited
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    • 2012Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage18 cited