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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia
2014
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| 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 |