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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Persistent link: https://www.econbiz.de/10011432732
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How are VIX and stock index ETF related?
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016 - Revised: February 2016
. Daily data on ETF returns that follow different stock indexes in the USA and Europe are used in the empirical analysis. The …
Persistent link: https://www.econbiz.de/10011441620
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Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...
Persistent link: https://www.econbiz.de/10011543960
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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
This paper features an analysis of the effectiveness of a range of portfolio diversi cation strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically compounded returns on a...
Persistent link: https://www.econbiz.de/10011376286
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European Market portfolio diversifcation strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014
Persistent link: https://www.econbiz.de/10011296531
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Connecting VIX and stock index ETF
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2017 - Revised: January 2017
Persistent link: https://www.econbiz.de/10011823316
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2018 - Revised: September 2018
Persistent link: https://www.econbiz.de/10011920700
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25
Europe are used in the empirical analysis, which is presented for the full data set, as well as for the three sub …
Persistent link: https://www.econbiz.de/10011961446
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How are VIX and stock index ETF related?
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011447222
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European market portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the...
Persistent link: https://www.econbiz.de/10010414201