Oueslati, Abdelmonem; Hammami, Yacine; Jilani, Faouzi - In: Research in International Business and Finance 31 (2014) C, pp. 57-73
It is well-established in the financial literature that the global performance of mutual fund managers is the result of two skills: selectivity and market timing. This paper examines whether the multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach improves our...