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Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model

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Cojumps and Asset Allocation in International Equity Markets

Arouri, Mohamed - 2018

This paper examines the patterns of intraday cojumps between international equity markets as well as their impact on international asset holdings and portfolio diversification benefits. Using intraday index-based data for exchange-traded funds as proxies for international equity markets, we...

Persistent link: https://www.econbiz.de/10012907781