The Impact of Euro on Sectoral Equity Returns and Portfolio Risk
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DOI: 10.1007/s11294-011-9292-5
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More about this item
Keywords
Diversification; Volatility spillover; GARCH-M; G11; C22; C01;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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