Industry effects and volatility transmission in portfolio diversification
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DOI: 10.1057/jam.2011.17
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- Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Emmanuel Joel Aikins Abakah, 2023.
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Applied Economics, Taylor & Francis Journals, vol. 55(3), pages 283-292, January.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Emmanuel Joel Aikins Abakah, 2021. "US Policy Responses to the Covid-19 Pandemic and Sectoral Stock Indices: A Fractional Integration Approach," CESifo Working Paper Series 9386, CESifo.
- Marcelo, José Luis Miralles & Quirós, José Luis Miralles & Martins, José Luís, 2013. "The role of country and industry factors during volatile times," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 273-290.
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Keywords
biotechnology sector; portfolio diversification; volatility spillover; VAR; TGARCH;All these keywords.
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