Risk spillovers and portfolio management between developed and BRICS stock markets
Walid Mensi, Shawkat Hammoudeh, Sang Hoon Kang
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Mensi, Walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 41.2017, p. 133-155
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| Subject: | Stock markets | Volatility | Time-varying hedge ratios | Downside risk | Multivariate DECO-FIEGARCH | Volatilität | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Hedging | ARCH-Modell | ARCH model | BRICS-Staaten | BRICS countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2017.03.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011878945