Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis
This paper examines both the benefits of choosing an internationally diversified portfolio and the evolution of the portfolio risk in the context of the current global financial crisis. The portfolio is comprised of three benchmark indexes from Romania, UK and USA. Study results show that on the bac...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2011-02-01
|
| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/557.pdf
|