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
• 格式: Article
• 語言: English
• 出版: Asian Academy of Management (AAM) 2014
• 主題: HD28-70 Management. Industrial Management
• 在線閱讀: http://eprints.usm.my/40020/1/AAMJAF_10-1-7-G1_%28151-165%29.pdf; http://eprints.usm.my/40020/; 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 variancecovariance estimation. Whilst emphasising the role of the asymmetry volatility model in portfolio formation, we also investigate the eco...