Leverage, return, volatility and contagion: Evidence from the portfolio framework
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References listed on IDEAS
- Back, Kerry, 2010. "Asset Pricing and Portfolio Choice Theory," OUP Catalogue, Oxford University Press, number 9780195380613.
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- Gallo, Giampiero M. & Otranto, Edoardo, 2008.
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More about this item
KeywordsVolatility; leverage; contagion; Mean Variance Efficient Frontier; Wavelet Time–frequency analysis;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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