Geographical diversification with a World Volatility Index
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DOI: 10.1016/j.mulfin.2015.03.001
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- Julien Chevallier & Sofiane Aboura, 2015. "Geographical Diversification with a World Volatility Index," Post-Print hal-01529755, HAL.
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More about this item
Keywords
Factor-DCC; World market volatility; Diversification; G20; Crisis Episodes Detection;JEL classification:
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
- F30 - International Economics - - International Finance - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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