The paper focused on measuring efficiency of investment strategies and portfolio optimization based on dynamic portfolio formation using the global minimum variance approach in a region of central European countries. The paper analyses DCC GARCH model, which was employed in order to obtain...

This paper investigates market-wide risk aversion in an international setting. Particularly, this empirical study evaluates risk aversion spillover dynamics as an uncertainty transmission mechanism for the period 2000-2015 to reveal if there has been a significant change in these dynamics when...

We investigate the role of information asymmetries and inflation hedging in shaping international equity portfolios. We confirm, in a multinational setting, Cooper and Kaplanis (1994) result of no inflation hedging motive driving investors' behavior and find evidence of a crucial role for...

This paper aims at contributing to the international portfolio investment decisions among the emerging BRICS countries where individual and institutional investors seek diversification benefits and to help in advocating policy changes and implementation as a response to the changing dynamics in...

This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks,...

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...

This study investigates the economic and financial drivers of volatility changes and integrates them into stock market volatility forecasting. We first collect a diverse set of predictor variables and analyze them within a unified framework. We discover that only a small number of variables...

We introduce a methodology for dynamic modelling and forecasting of realized covariance matrices based on generalization of the heterogeneous autoregressive model (HAR) for realized volatility. Multivariate extensions of popular HAR framework leave substantial information unmodeled in residuals....

This paper formally implements time-varying risk price models for currency returns. Focusing upon time variation in risk prices, the paper explores four currency risk factors. In addition to dollar and carry factors, we employ momentum and value factors which are widely used by currency...