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Firm-level return dispersion and correlation asymmetry : challenges for portfolio diversification

Demirer, Rıza; Lien, Da-hsiang Donald - In: Applied financial economics 14 (2004) 6, pp. 447-456

Persistent link: https://www.econbiz.de/10001971231

Industry herding and momentum strategies

Demirer, Rıza; Lien, Da-hsiang Donald; Zhang, Huacheng - In: Pacific-Basin finance journal 32 (2015), pp. 95-110

Persistent link: https://www.econbiz.de/10011471555

Can advanced markets help diversify risks in frontier stock markets? : evidence from Gulf Arab stock markets

Demirer, Rıza - In: Research in international business and finance 29 (2013), pp. 77-98

Persistent link: https://www.econbiz.de/10009759908

The use and abuse of the hedging effectiveness measure

Lien, Da-hsiang Donald - In: International review of financial analysis 14 (2005) 2, pp. 277-282

Persistent link: https://www.econbiz.de/10002738312

Timing the value-at-risk hedge

Lien, Da-hsiang Donald - In: Research in finance 25 (2009), pp. 333-341

Persistent link: https://www.econbiz.de/10009306650

A note on the performance of regime switching hedge strategy

Lien, Da-hsiang Donald - In: The journal of futures markets 32 (2012) 4, pp. 389-396

Persistent link: https://www.econbiz.de/10010218779

Optimal futures heading: quadratic versus exponential utility functions

Lien, Da-hsiang Donald - In: The journal of futures markets 28 (2008) 2, pp. 208-211

Persistent link: https://www.econbiz.de/10003647714

A note on the superiority of the Ols hedge ratio

Lien, Da-hsiang Donald - In: The journal of futures markets 25 (2005) 11, pp. 1121-1126

Persistent link: https://www.econbiz.de/10003222767

A further note on the optimality of the OLS hedge strategy

Lien, Da-hsiang Donald - In: The journal of futures markets 28 (2008) 3, pp. 308-311

Persistent link: https://www.econbiz.de/10003699396

Is There a Role for Islamic Bonds in Global Diversification Strategies? An Empirical Analysis of Risk Transmissions and Dynamic Correlations

Balcilar, Mehmet - 2015

This paper explores international diversification benefits of Islamic bonds (sukuk) by examining dynamic spillovers and correlations between sukuk and conventional bond and stock markets. Asymmetric volatility spillover effects are observed from global debt and equity markets to Islamic bonds,...

Persistent link: https://www.econbiz.de/10013023628