Correlation dynamics and international diversification benefits
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DOI: 10.1016/j.ijforecast.2014.01.001
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- Peter Christoffersen & Vihang R. Errunza & Kris Jacobs & Xisong Jin, 2013. "Correlation Dynamics and International Diversification Benefits," CREATES Research Papers 2013-49, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Asset pricing; Asset allocation; Dynamic conditional correlation (DCC); Dynamic equicorrelation (DECO);All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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