Systemic Risk and International Portfolio Choice
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Cited by:
- Billio, Monica & Pelizzon, Loriana, 2003. "Volatility and shocks spillover before and after EMU in European stock markets," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 323-340, December.
- Hałaj, Grzegorz, 2006. "Contagion effect in banking system - measures based on randomised loss scenarios," MPRA Paper 525, University Library of Munich, Germany.
- Glassman, Debra A. & Riddick, Leigh A., 2006. "Market timing by global fund managers," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1029-1050, November.
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More about this item
Keywords
asset allocation; contagion; emerging markets; jump-diffusion processes; skewness;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2003-02-18 (Corporate Finance)
- NEP-FMK-2003-02-18 (Financial Markets)
- NEP-RMG-2003-02-18 (Risk Management)
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