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Citations for " International Asset Pricing and Portfolio Diversification with Time-Varying Risk"

by De Santis, Giorgio & Gerard, Bruno

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  1. Wan- Jiun Paul Chiou & Chun- Pin Hsu & Chin- Wen Huang, 2013. "Development and international diversification benefits of equity markets in China, Hong Kong, and Taiwan," Chapters,in: Economic Integration Across the Taiwan Strait, chapter 5, pages 102-138 Edward Elgar Publishing.
  2. repec:spr:scient:v:95:y:2013:i:1:d:10.1007_s11192-012-0876-5 is not listed on IDEAS
  3. Petzev, Ivan & Schrimpf, Andreas & Wagner, Alexander F, 2015. "Has the Pricing of Stocks Become More Global?," CEPR Discussion Papers 10966, C.E.P.R. Discussion Papers.
  4. Boyle, Glenn, 2009. "Capital Market Integration: A Review of the Issues and an Assessment of New Zealand's Position," Working Paper Series 4034, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  5. Boubakri, Salem & Guillaumin, Cyriac, 2011. "Financial integration and currency risk premium in CEECs: Evidence from the ICAPM," Emerging Markets Review, Elsevier, vol. 12(4), pages 460-484.
  6. Guesmi, Khaled & Kablan, Sandrine, 2015. "Financial integration and Japanese stock market," MPRA Paper 70206, University Library of Munich, Germany.
  7. Connor, Gregory & Suurlaht, Anita, 2013. "Dynamic stock market covariances in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
  8. De Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic risk: A survey," Working Paper Series 0035, European Central Bank.
  9. Arouri, Mohamed & Teulon, Frédéric & Rault, Christophe, 2013. "Equity risk premium and regional integration," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 79-85.
  10. Bell, R. Greg & Moore, Curt B. & Filatotchev, Igor, 2012. "Strategic and institutional effects on foreign IPO performance: Examining the impact of country of origin, corporate governance, and host country effects," Journal of Business Venturing, Elsevier, vol. 27(2), pages 197-216.
  11. Boubakri, Salem & Guillaumin, Cyriac, 2015. "Regional integration of the East Asian stock markets: An empirical assessment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 136-160.
  12. Giofré, Maela, 2017. "Financial education, investor protection and international portfolio diversification," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 111-139.
  13. Ana Fostel & John Geanakoplos & Gregory Phelan, 2015. "Global Collateral: How Financial Innovation Drives Capital Flows and Increases Financial Instability," Department of Economics Working Papers 2015-12, Department of Economics, Williams College, revised Feb 2017.
  14. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
  15. Ashraf, Dawood & Mohammad, Nazeeruddin, 2014. "Matching perception with the reality—Performance of Islamic equity investments," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 175-189.
  16. Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015. "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 7-18.
  17. Grau-Grau, Alfredo Juan, 2014. "¿Puede un factor réplica del crecimiento económico futuro (PIB) explicar los rendimientos de los/News Related to Future Gross Domestic Product (GDP) Growth Factor on Asset Pricing on the Spanish Stock," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 32, pages 705-736, Mayo.
  18. Saleem, Kashif & Vaihekoski, Mika, 2010. "Time-varying global and local sources of market and currency risks in Russian stock market," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 686-697, October.
  19. Yertai Tanai & Kuan-Pin Lin, 2013. "Mongolian and World Equity Markets: Volatilities and Correlations," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 136-164, December.
  20. Arnaud Mehl, 2013. "Large global volatility shocks, equity markets and globalisation: 1885-2011," Globalization and Monetary Policy Institute Working Paper 148, Federal Reserve Bank of Dallas.
  21. Garg, Reetika & Dua, Pami, 2014. "Foreign Portfolio Investment Flows to India: Determinants and Analysis," World Development, Elsevier, vol. 59(C), pages 16-28.
  22. Hakim, Abdul & McAleer, Michael, 2009. "Forecasting conditional correlations in stock, bond and foreign exchange markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2830-2846.
  23. Robin Brooks & Marco Del Negro, 2006. "Firm-Level Evidence on International Stock Market Comovement," Review of Finance, European Finance Association, vol. 10(1), pages 69-98.
  24. Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
  25. Assefa, Tibebe A. & Esqueda, Omar A. & Mollick, André Varella, 2017. "Stock returns and interest rates around the World: A panel data approach," Journal of Economics and Business, Elsevier, vol. 89(C), pages 20-35.
  26. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  27. Verma, Rahul & Verma, Priti, 2007. "Noise trading and stock market volatility," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 231-243, July.
  28. repec:ipg:wpaper:2013-006 is not listed on IDEAS
  29. Soydemir, Gokce A., 2005. "Differences in the price of risk and the resulting response to shocks: an analysis of Asian markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 285-313, October.
  30. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier.
  31. Oehler, Andreas & Wendt, Stefan & Horn, Matthias, 2017. "Are investors really home-biased when investing at home?," Research in International Business and Finance, Elsevier, vol. 40(C), pages 52-60.
  32. Guesmi, Khaled & Kablan, Sandrine & Belgacem, Aymen, 2015. "The regional pricing of risk: An empirical investigation of the MENA equity determinants," MPRA Paper 70271, University Library of Munich, Germany, revised 2015.
  33. Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
  34. El Hedi Arouri, Mohamed & Rault, Christophe & Sova, Anamaria & Sova, Robert & Teulon, Frédéric, 2013. "Market structure and the cost of capital," Economic Modelling, Elsevier, vol. 31(C), pages 664-671.
  35. Chang, Sanders S., 2013. "Can cross-country portfolio rebalancing give rise to forward bias in FX markets?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1079-1096.
  36. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
  37. AROURI Mohamed El Hedi, 2004. "The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification: Evidence from a Multivariate Approach with Time Varying Risk," Economics Bulletin, AccessEcon, vol. 6(3), pages 1-13.
  38. Jorge A Chan-Lau & Srobona Mitra & Li L Ong, 2007. "Contagion Risk in the International Banking System and Implications for London As a Global Financial Center," IMF Working Papers 07/74, International Monetary Fund.
  39. Carlos F. Alves & João Vaz Nunes & Ana Paula Serra, 2014. "Analysis of European Equity Funds Preferences for Stock Characteristics," FEP Working Papers 533, Universidade do Porto, Faculdade de Economia do Porto.
  40. Kearney, Colm & Poti, Valerio, 2006. "Correlation dynamics in European equity markets," Research in International Business and Finance, Elsevier, vol. 20(3), pages 305-321, September.
  41. José Soares Da Fonseca, 2016. "Euro area stock markets performance comparison and its dependence on macroeconomic variables," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(3), pages 245-266.
  42. Adler, Michael & Qi, Rong, 2003. "Mexico's integration into the North American capital market," Emerging Markets Review, Elsevier, vol. 4(2), pages 91-120, June.
  43. Alain Abou & Georges Prat, 1986. "Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level," Post-Print halshs-00172883, HAL.
  44. Jacobsen, Brian J. & Liu, Xiaochun, 2008. "China's segmented stock market: An application of the conditional international capital asset pricing model," Emerging Markets Review, Elsevier, vol. 9(3), pages 153-173, September.
  45. repec:ipg:wpaper:6 is not listed on IDEAS
  46. Khaled Guesmi & Frédéric Teulon, 2013. "Regional Equity Risk Premium Convergence: The case of Japan," Working Papers 2013-6, Department of Research, Ipag Business School.
  47. Liu, Chih-Liang & Yang, Hsin-Feng, 2017. "Systemic risk in carry-trade portfolios," Finance Research Letters, Elsevier, vol. 20(C), pages 40-46.
  48. Al Nasser, Omar M. & Hajilee, Massomeh, 2016. "Integration of emerging stock markets with global stock markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 1-12.
  49. Pagan, Jose A. & Soydemir, Gokce A., 2001. "Response asymmetries in the Latin American equity markets," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 175-185.
  50. Harry J. Turtle & Chengping Zhang, 2015. "Structural breaks and portfolio performance in global equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 909-922, June.
  51. Mohamed El Hedi Arouri, 2006. "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects," Frontiers in Finance and Economics, SKEMA Business School, vol. 3(2), pages 70-94, December.
  52. Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012. "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
  53. repec:dau:papers:123456789/7748 is not listed on IDEAS
  54. Vanitha Ragunathan & Robert Faff & Robert Brooks, 2004. "Correlations, integration and Hansen-Jagannathan bounds," Applied Financial Economics, Taylor & Francis Journals, vol. 14(16), pages 1167-1180.
  55. Tom A. FEARNLEY, 2002. "Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts," FAME Research Paper Series rp97, International Center for Financial Asset Management and Engineering.
  56. repec:eee:quaeco:v:64:y:2017:i:c:p:215-227 is not listed on IDEAS
  57. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 0610. "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers 2017-34, Department of Economics and Business Economics, Aarhus University.
  58. Sandrine Kablan & Khaled Guesmi, 2016. "Financial Integration and Japanese Stock market Performance," Economics Bulletin, AccessEcon, vol. 36(2), pages 1064-1070.
  59. Keiber, Karl Ludwig & Samyschew, Helene, 2017. "The world price of sentiment risk," Global Finance Journal, Elsevier, vol. 32(C), pages 62-82.
  60. Esqueda, Omar A. & Assefa, Tibebe A. & Mollick, André Varella, 2012. "Financial globalization and stock market risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 87-102.
  61. Iwaisako, Tokuo, 2002. "Does International Diversification Really Diversify Risks?," Journal of the Japanese and International Economies, Elsevier, vol. 16(1), pages 109-134, March.
  62. Earl D. Benson & Sophie X. Kong, 2015. "The Co-Movement of U.S. Equity Returns with the Developed and Emerging Markets of Australasia and Asia," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 5(1), pages 102-117, January.
  63. repec:wyi:journl:002141 is not listed on IDEAS
  64. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
  65. Roque, Vanda & Cortez, Maria Céu, 2014. "The determinants of international equity investment: Do they differ between institutional and noninstitutional investors?," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 469-482.
  66. Tai, Chu-Sheng, 2007. "Market integration and currency risk in Asian emerging markets," Research in International Business and Finance, Elsevier, vol. 21(1), pages 98-117, January.
  67. repec:ipg:wpaper:2014-351 is not listed on IDEAS
  68. Haque Mahfuzul & Hassan M. Kabir & Maroney Neal C & Sackley William H, 2004. "An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 2(1), pages 18-41, April.
  69. Christoffersen, Peter & Errunza, Vihang & Jacobs, Kris & Jin, Xisong, 2014. "Correlation dynamics and international diversification benefits," International Journal of Forecasting, Elsevier, vol. 30(3), pages 807-824.
  70. Boamah, Nicholas Addai, 2017. "The dynamics of the relative global sector effects and contagion in emerging markets equity returns," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 433-453.
  71. Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015. "Correlations between oil and stock markets: A wavelet-based approach," Economic Modelling, Elsevier, vol. 50(C), pages 212-227.
  72. Bartram, Söhnke M. & Bodnar, Gordon M., 2012. "Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 766-792.
  73. Ozcan Ceylan, 2015. "Limited information-processing capacity and asymmetric stock correlations," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1031-1039, June.
  74. Dimitrios Dimitriou & Theodore Simos, 2013. "International portfolio diversification: an ICAPM approach with currency risk," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 6(2), pages 177-189, September.
  75. Francesca Carrieri & Vihang Errunza & Sergei Sarkissian, 2004. "Industry Risk and Market Integration," Management Science, INFORMS, vol. 50(2), pages 207-221, February.
  76. Esben Hedegaard & Robert J. Hodrick, 2014. "Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances," NBER Working Papers 20245, National Bureau of Economic Research, Inc.
  77. Andreas Oehler & Stefan Wendt & Matthias Horn, 2016. "Internationalization of Blue-Chip versus Mid-Cap Stock Indices: an Empirical Analysis for France, Germany, and the UK," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 501-518, December.
  78. repec:eee:finlet:v:22:y:2017:i:c:p:175-181 is not listed on IDEAS
  79. Kinnunen, Jyri, 2013. "Dynamic return predictability in the Russian stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 107-121.
  80. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies," Journal of Financial Economics, Elsevier, vol. 50(3), pages 351-373, December.
  81. Liang, Samuel Xin & Wei, John K.C., 2012. "Liquidity risk and stock returns around the world," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3274-3288.
  82. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2015. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.3], University of Cologne, Centre for Financial Research (CFR).
  83. Arouri, Mohamed El Hedi & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2012. "An international CAPM for partially integrated markets: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2473-2493.
  84. Jacobs, Heiko & Müller, Sebastian & Weber, Martin, 2014. "How should individual investors diversify? An empirical evaluation of alternative asset allocation policies," Journal of Financial Markets, Elsevier, vol. 19(C), pages 62-85.
  85. Koedijk, C.G. & van Dijk, M.A., 2002. "Do Global Risk Factors Matter for International Cost of Capital Computations?," ERIM Report Series Research in Management ERS-2002-100-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  86. Entorf, Horst & Jamin, Gösta, 2002. "Dance with the Dollar: Exchange Rate Exposure on the German Stock Market," Darmstadt Discussion Papers in Economics 117, Darmstadt University of Technology, Department of Law and Economics.
  87. Cathy Yi-Hsuan Chen & Thomas C. Chiang & Wolfgang Karl Härdle, 2016. "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers SFB649DP2016-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  88. Daly, Kevin & Vo, Xuan Vinh, 2013. "The determinants of home bias puzzle in equity portfolio investment in Australia," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 34-42.
  89. Ólan T. Henry & Nilss Olekalns & Kalvinder K. Shields, 2013. "Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 18, pages 457-476 Edward Elgar Publishing.
  90. Alotaibi, Abdullah R. & Mishra, Anil V., 2017. "Time varying international financial integration for GCC stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 66-78.
  91. Ramona Dumitriu & Razvan Stefanescu, 2016. "Impact of the NYSE Shocks on the European Developed Capital Markets," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 327-334.
  92. repec:dau:papers:123456789/7746 is not listed on IDEAS
  93. Dennis Dlugosch & Kristian Horn & Mei Wang, 2014. "Behavioral determinants of home bias - theory and experiment," Working Papers 2014-11, Faculty of Economics and Statistics, University of Innsbruck.
  94. repec:ipg:wpaper:201406 is not listed on IDEAS
  95. Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2015. "Portfolio selection: An alternative approach," Economics Letters, Elsevier, vol. 135(C), pages 141-143.
  96. Arouri Mohamed el hédi & Jamel Jouini, 2009. "Analysis of structural breaks in the stock market integration of mexico into world," Economics Bulletin, AccessEcon, vol. 29(2), pages 1380-1392.
  97. Leonard MacLean & Yonggan Zhao & William Ziemba, 2013. "Currency returns, market regimes and behavioral biases," Annals of Finance, Springer, vol. 9(2), pages 249-269, May.
  98. Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2013. "Semi Parametric Estimation Of Risk-Return Relationships," Caepr Working Papers 2013-004, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  99. Tom A. FEARNLEY, 2002. "Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds," FAME Research Paper Series rp95, International Center for Financial Asset Management and Engineering.
  100. repec:eee:quaeco:v:66:y:2017:i:c:p:275-293 is not listed on IDEAS
  101. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  102. Korkmaz, Turhan & Cevik, Emrah Ismail & Gurkan, Serhan, 2010. "Testing the international capital asset pricing model with Markov switching model in emerging markets," MPRA Paper 71481, University Library of Munich, Germany, revised 2010.
  103. Wim Meeusen (ed.), 2011. "The Economic Crisis and European Integration," Books, Edward Elgar Publishing, number 14130.
  104. Chiang, Thomas C. & Li, Huimin & Zheng, Dazhi, 2015. "The intertemporal risk-return relationship: Evidence from international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 156-180.
  105. Ter Horst, J.R. & de Roon, F.A. & Werker, B.J.M., 2000. "Incorporating Estimation Risk in Portfolio Choice," Discussion Paper 2000-65, Tilburg University, Center for Economic Research.
  106. Markus Bibinger & Markus Reiss & Nikolaus Hautsch & Peter Malec, 2014. "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," SFB 649 Discussion Papers SFB649DP2014-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  107. Bekaert, Geert, 2001. "Editor's foreword to the special issue: "On the predictability of asset returns"," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 451-457, December.
  108. Gerlach, Jeffrey R. & Yook, Youngsuk, 2016. "Political conflict and foreign portfolio investment: Evidence from North Korean attacks," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 178-196.
  109. León Valle Ángel & Nave Pineda Juan & Rubio Irigoyen Gonzalo, 2005. "The Relationship between Risk and Expected Return in Europe," Working Papers 201025, Fundacion BBVA / BBVA Foundation.
  110. David Morelli, 2003. "Capital asset pricing model on UK securities using ARCH," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 211-223.
  111. Arouri, Mohamed El Hedi & Foulquier, Philippe, 2012. "Financial market integration: Theory and empirical results," Economic Modelling, Elsevier, vol. 29(2), pages 382-394.
  112. De Santis, Giorgio & Gerard, Bruno, 1998. "How big is the premium for currency risk?," Journal of Financial Economics, Elsevier, vol. 49(3), pages 375-412, September.
  113. Nippel, Peter & Pierdzioch, Christian & Schertler, Andrea, 2005. "Underpricing and Index Excess Returns," Kiel Working Papers 1259, Kiel Institute for the World Economy (IfW).
  114. Michel Beine & Gunther Capelle-Blancard & Helene Raymond, 2008. "International nonlinear causality between stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 663-686.
  115. Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012. "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1249-1278.
  116. repec:eee:quaeco:v:65:y:2017:i:c:p:88-96 is not listed on IDEAS
  117. Hooy, Chee-Wooi & Lee, Meng-Horng & Chong, Terence Tai Leung, 2017. "The Sources of Country and Industry Variations in ASEAN Stock Returns," MPRA Paper 80574, University Library of Munich, Germany.
  118. Keiber, Karl Ludwig & Samyschew, Helene, 2016. "The pricing of sentiment risk in European stock markets," Discussion Papers 384, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  119. Eun, Cheol S. & Huang, Wei, 2007. "Asset pricing in China's domestic stock markets: Is there a logic?," Pacific-Basin Finance Journal, Elsevier, vol. 15(5), pages 452-480, November.
  120. Leyuan You & Robert Daigler, 2010. "The strength and source of asymmetric international diversification," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(3), pages 349-364, July.
  121. Li, Hong, 2013. "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 88-105.
  122. Kamil, Nazrol & Bacha, Obiyadulla & Masih, Mansur, 2014. "Is There A Diversification “Cost” of Shari’ah Compliance? Empirical Evidence from Malaysian Equities," MPRA Paper 56951, University Library of Munich, Germany.
  123. Nadine McCloud & Yongmiao Hong, 2011. "Testing The Structure Of Conditional Correlations In Multivariate Garch Models: A Generalized Cross‐Spectrum Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 991-1037, November.
  124. Jayasinghe, Prabhath & Tsui, Albert K. & Zhang, Zhaoyong, 2014. "New estimates of time-varying currency betas: A trivariate BEKK approach," Economic Modelling, Elsevier, vol. 42(C), pages 128-139.
  125. Rahul Deora & Duc Khuong Nguyen, 2014. "Time-scale comovement between the Indian and world stock markets," Working Papers 2014-242, Department of Research, Ipag Business School.
  126. Paul Chiou & Cheng-Few Lee, 2013. "Do investors still benefit from culturally home-biased diversification? An empirical study of China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 341-381, February.
  127. repec:eee:jbfina:v:82:y:2017:i:c:p:112-132 is not listed on IDEAS
  128. Kalok Chan & Vicentiu Covrig & Lilian Ng, 2005. "What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide," Journal of Finance, American Finance Association, vol. 60(3), pages 1495-1534, June.
  129. Ruiz, Esther & Hotta, Luiz & Almeida, Daniel De, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de Estadística.
  130. Alexandra Horobet & Sorin Dumitrescu, 2011. "Time-varying Diversification Benefits: The Impact of Capital Market Integration on European Portfolio Holdings," Chapters,in: The Economic Crisis and European Integration, chapter 13 Edward Elgar Publishing.
  131. Wolfgang Bessler & Wolfgang Drobetz & Heinz Zimmermann, 2007. "Conditional Performance Evaluation for German Mutual Equity Funds," Working papers 2007/22, Faculty of Business and Economics - University of Basel.
  132. Balvers, Ronald J. & Klein, Alina F., 2014. "Currency risk premia and uncovered interest parity in the International CAPM," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 214-230.
  133. Begoña Font Belaire, 2012. "Can the exchange rate, inflation and domestic risk factors be overlooked in international asset pricing?," Working Papers. Serie EC 2012-04, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.