The persistency of international diversification benefits: the role of the asymmetry volatility model
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...
Saved in:
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 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
The Persistency Of International
Diversification Benefits:
The Role Of The Asymmetry Volatility Model
by: Ung , Sze Nie, et al.
Published: (2014) -
Modeling petroleum future volatility: Analyzing asymmetry and persistency of shocks
by: Alom, Fardous, et al.
Published: (2012) -
An investigation into the exchange rate volatility of Malaysia: assessing asymmetry and persistency
by: Fardous, Alom
Published: (2014) -
Is There Any International Diversification Benefits in ASEAN Stock Markets?
by: Lim, Kian-Ping, et al.
Published: (2009) -
Is There Any International Diversification Benefits in ASEAN Stock Markets?
by: Hock-Ann Lee, et al.
Published: (2009)