Portfolio diversification: alive and well in Euro-land!
Diversification opportunities in Euro-land appear to have improved significantly since the advent of the euro, thus invalidating the prospects identified in the last years of the convergence-to-EMU period. Low frequency movements in the time series of return dispersions are identified suggestive of cycles and long swings in return correlations. The most recent post-euro period is clearly associated with an important upswing with return dispersions exceeding for the first time their peaks of the early 1990s.
Year of publication: |
2004
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Authors: | Adjaoute, Kpate ; Danthine, Jean-Pierre |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 14.2004, 17, p. 1225-1231
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Publisher: |
Taylor & Francis Journals |
Saved in:
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