Impact of Arab uprising on Portfolio diversification benefits at different investment horizons for the Turkish investors in relation to the regional stock markets: Multivariate GARCH-DCC and Wavelet coherence approaches
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More about this item
KeywordsArab uprisings; portfolio diversification; MGARCH-DCC; Wavelet Coherence;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-06-27 (All new papers)
- NEP-ARA-2015-06-27 (MENA - Middle East & North Africa)
- NEP-CWA-2015-06-27 (Central & Western Asia)
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