Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis

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...

Full description

Bibliographic Details
Main Authors: Oana Mădălina PREDESCU, Stelian STANCU
Format: Article
Language:English
Published: General Association of Economists from Romania 2011-02-01
Series:Theoretical and Applied Economics
Subjects:
global financial crisis
diversification
volatility
ARCH model
GARCH model
Online Access: http://store.ectap.ro/articole/557.pdf

Similar Items

Similar Items