The persistency of international diversification benefits: the role of the asymmetry volatility model

• Main Authors: Ung, Sze Nie, Choo, Wei Chong, Sambasivan, Murali, Md Nassir, Annuar
• Format: Article
• Language: English
• Published: Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia 2014
• Online Access: http://psasir.upm.edu.my/id/eprint/35767/1/The%20persistency%20of%20international%20diversification%20benefits%20the%20role%20of%20the%20asymmetry%20volatility%20model.pdf; http://psasir.upm.edu.my/id/eprint/35767/; http://web.usm.my/journal/aamjaf/10-1-7-2014.html

This study restates the issue of international portfolio diversification benefits by considering the problem of perfect foresight assumption and constant variance-covariance estimation. Whilst emphasising the role of the asymmetry volatility model in portfolio formation, we also investigate the econ...