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Small caps in international equity portfolios: the effects of variance risk · Study

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ArticleSmall caps in international equity portfolios: the effects of variance risk

Massimo Guidolin2008

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Articlegreen2008

Small caps in international equity portfolios: the effects of variance risk

Massimo Guidolin · Giovanna Nicodano

26 citations·0/0 files stored·Annals of Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1993Common risk factors in the returns on stocks and bonds 1986Generalized autoregressive conditional heteroskedasticity 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 2002Dynamic Conditional Correlation 1981The relationship between return and market value of common stocks 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 1995Multivariate Simultaneous Generalized ARCH

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2012Time-varying performance of international mutual funds 2018Portfolio optimisation under flexible dynamic dependence modelling

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Year2008

Typearticle

Published2008-01-02

VenueAnnals of Finance

ISSN-L1614-2446

Languageen

Citations26

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s10436-007-0090-2

openalex_workW3125091196

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