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Dec 30 2023 |
Prem Vaswani and Padmaja M |
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Asymmetric relationship between macroeconomic uncertainty and stock market performance: a study of the Indian stock market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Dec 30 2023 |
Thomas Gries , Lukas Wiechers and Sebastian José Luna-Victoria |
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Unconventional monetary policy and wealth inequality: evidence from the US |
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Abstract Contact Information Citation Full Text - Note |
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Jun 30 2023 |
Refk Selmi |
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Do investors care about carbon risk? The impact of the Paris agreement on the inflation hedging performance of commodities
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Mar 30 2023 |
Maia Gejadze , Pierre Giot and Armin Schwienbacher |
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On venture capital exit dynamics |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Dec 30 2022 |
Seyid Fahri Mahmud , Seyid Amjad Ali and Fatih Furkan Akosman |
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Modeling 2018 currency crisis of Turkey: A balance of payments approach |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jun 30 2022 |
Nehan Naim |
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Do Subsidies Extend Lifeline to Coal? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jun 30 2022 |
Noureddine Kouaissah and Amin Hocine |
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Robust drawdown-based performance measures |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Feb 20 2022 |
Kenta Toyofuku |
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Risk sharing and asset commonality in the financial sector |
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Abstract Contact Information Citation Full Text - Note |
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Sep 17 2021 |
Mateus Portelinha , Carlos Heitor Campani and Raphael Roquete |
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The impacts of cryptocurrencies in the performance of Brazilian stocks' portfolios |
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Abstract Contact Information Citation Full Text - Note |
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Mar 10 2021 |
Masao Kumamoto and Juanjuan Zhuo |
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Hedge and safe haven status of Bitcoin: copula-DCC approach |
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Abstract Contact Information Citation Full Text - Note |
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Nov 27 2020 |
Konstantinos Charistos , Christos Constantatos and Ioannis N. Pinopoulos |
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Downstream horizontal mergers and wholesale price discrimination |
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Abstract Contact Information Citation Full Text - Note |
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Sep 24 2020 |
K.P. Prabheesh , Bhavesh Garg and Rakesh Padhan |
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Time-varying dependence between stock markets and oil prices during COVID-19: The case of net oil-exporting countries |
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Abstract Contact Information Citation Full Text - Note |
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Aug 08 2020 |
Daniel J Pastor |
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The effects of renewables portfolio standards on renewable energy generation. |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Feb 23 2020 |
Youngjin Yun |
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Post-crisis changes in the pattern of capital flows - The case of Korea |
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Abstract Contact Information Citation Full Text - Note |
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Jan 01 2020 |
Maxim Zagonov and Bernd Hanke |
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Investor Attention, Lottery Stocks and the Cross-Section of Expected Returns. |
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Abstract Contact Information Citation Full Text - Note |
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Jan 01 2020 |
Nawazish Mirza , Amir Hasnaoui and Birjees Rahat |
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Credit Quality and Stock Returns of Commercial Banks |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Sep 30 2019 |
John Nana Francois and Ryan S Mattson |
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Divisia Monetary Aggregates for Developing Economies: Some Theory |
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Abstract Contact Information Citation Full Text - Note |
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May 15 2019 |
Clark Lundberg |
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Identifying horizon-based heterogeneity in the cross section of portfolio returns |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Mar 16 2019 |
Rodrigo de O. Leite and Jamil Civitarese |
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Microfinance for women: Are there economic reasons? Evidence from Latin America |
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Abstract Contact Information Citation Full Text - Note |
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Dec 10 2018 |
Yu Takata |
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Application of Granularity Adjustment Approximation Method to Incremental Value-at-Risk in Concentrated Portfolios |
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Abstract Contact Information Citation Full Text - Note |
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Nov 06 2018 |
Ramzi Benkraiem , Thi hong van Hoang , Amine Lahiani and Anthony Miloudi |
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Crude oil and equity markets in major European countries: New evidence |
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Abstract Contact Information Citation Full Text - Note |
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Oct 10 2018 |
Roman Mestre and Michel Terraza |
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Time-Frequency varying beta estimation -a continuous wavelets approach- |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Aug 05 2018 |
Raphael Moses Roquete , Ricardo P. C. Leal and Carlos Heitor Campani |
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Corporate governance and fundamental indexation in Brazil |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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May 25 2018 |
Alba Del Villar Olano |
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The Lucas Paradox in the Great Recession: Does the type of capital matter? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Feb 27 2018 |
Sahar Milani and Rebecca Neumann |
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International financial openness and industrial R&D |
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Abstract Contact Information Citation Full Text - Note |
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Feb 27 2018 |
Brent J. Davis |
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Does financial well-being affect portfolio construction? Evidence from an online survey |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Feb 09 2018 |
Ammar Shamaileh |
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Barriers to Financial Institutional Development: A Preliminary Theoretical Exploration of Social Capital, Growth and Institutional Development |
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Abstract Contact Information Citation Full Text - Note |
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Jan 21 2018 |
Wahyoe Soedarmono |
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Stock market integration in the Asia-Pacific region:
Evidence from cointegration of liquidity risk
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Dec 01 2017 |
José Antonio Núñez-Mora , Roberto Joaquín Santillán-Salgado and Leovardo Mata |
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Efficient portfolios and the generalized hyperbolic distribution |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Nov 19 2017 |
Moawia Alghalith |
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Stochastic optimization without Ito's lemma: applications to the portfolio model |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jul 23 2017 |
Stefano Herzel and Marco Nicolosi |
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Portfolio allocation in actively managed funds |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jul 08 2017 |
Pierre O. De souza , Tiago P. Filomena , João F. Caldeira , Denis Borenstein and Marcelo B. Righi |
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Risk parity in the brazilian market |
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Abstract Contact Information Citation Full Text - Note |
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Jun 11 2017 |
François Seck Fall |
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Determinants of Microfinance institutions' access to bank credit in Senegal |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jun 05 2017 |
Moawia Alghalith |
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A note on the stochastic portfolio optimization |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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May 25 2017 |
Amrendra Kumar and Vikash Gautam |
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Gold as inflation and exchange rate hedge: The case of India |
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Abstract Contact Information Citation Full Text - Note |
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May 05 2017 |
David Roubaud , Alain Lapied and Robert Kast |
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Modelling under ambiguity with two correlated Choquet-Brownian motions |
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Abstract Contact Information Citation Full Text - Note |
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Mar 20 2017 |
Terence Tai-Leung Chong , Yue Ding and Tianxiao Pang |
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Extreme Risk Value and Dependence Structure of the China Securities Index 300 |
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Abstract Contact Information Citation Full Text - Note |
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Feb 22 2017 |
Benjamín Vallejo Jiménez and Francisco Venegas Martínez |
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Optimal consumption and portfolio rules when the asset price is driven by a time-inhomogeneous Markov modulated fractional Brownian motion with multiple Poisson jumps |
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Abstract Contact Information Citation Full Text - Note |
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Jan 26 2017 |
Florian Leon |
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Implications of loan portfolio concentration in Cambodia |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jan 13 2017 |
Chi Dong , Hooi Hooi Lean and Zamri Ahmad |
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Intra-industry information diffusion in China's stock market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Oct 10 2016 |
Amit Ghosh |
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Determinants of Gold Demand in Reserve Bank of India's foreign exchange reserve portfolio. |
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Abstract Contact Information Citation Full Text - Note |
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Oct 05 2016 |
Gaowang Wang and Juanjuan Yan |
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Robustness, the Spirit of Capitalism and Asset Pricing |
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Abstract Contact Information Citation Full Text - Note |
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Oct 05 2016 |
Francesco Cesarone , Jacopo Moretti and Fabio Tardella |
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Optimally chosen small portfolios are better than large ones |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Mar 17 2016 |
Juan Gabriel Brida and María Nela Seijas |
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The impact of funded pension schemes in domestic capital markets: evaluating global reforms |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Feb 04 2016 |
Maiko Koga |
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Momentum trading behavior in the FX market: Evidence from Japanese retail investors |
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Abstract Contact Information Citation Full Text - Note |
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Dec 18 2015 |
Walid Chkili |
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Gold–oil prices co-movements and portfolio diversification implications |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Oct 02 2015 |
Richard T Froyen and Alfred V Guender |
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Real-Exchange-Rate-Adjusted Inflation Targeting in an Open Economy: Some Analytical Results |
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Abstract Contact Information Citation Full Text - Note |
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Oct 02 2015 |
Cheng-te Lee and Shang-fen Wu |
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Military Spending and Stochastic Growth: A Small Open Economy |
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Abstract Contact Information Citation Full Text - Note |
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Jul 24 2015 |
Omar Farooq and Imad Jabbouri |
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Ownership structure and portfolio performance: Pre- and post-crisis evidence from the Casablanca Stock Exchange |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jun 01 2015 |
Rachida Hennani and Michel Terraza |
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Contributions of a noisy chaotic model to the stressed Value-at-Risk |
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Abstract Contact Information Citation Full Text - Note |
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May 14 2015 |
Nahoko Mitsuyama and Satoshi Shimizutani |
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Stock market reaction to ESG-oriented management: an event study analysis on a disclosing policy in Japan |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Mar 30 2015 |
Ran Shao and Na Wang |
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Effects of Aging on Gender Differences in Financial Markets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Mar 29 2015 |
Dimitrios P. Louzis |
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The economic value of flexible dynamic correlation models |
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Abstract Contact Information Citation Full Text - Note |
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Mar 22 2015 |
Thai-Ha Le |
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Exchange rate determination in Vietnam |
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Abstract Contact Information Citation Full Text - Note |
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Mar 11 2015 |
Fábio Gomes and Lourenço Paz |
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Large estimates of the elasticity of intertemporal substitution: is it the aggregate return series or the instrument list? |
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Abstract Contact Information Citation Full Text - Note |
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Nov 06 2014 |
Shangkari V Anusakumar , Ruhani Ali and Chee-Wooi Hooy |
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Are momentum and contrarian effects related? Evidence from the Chinese stock market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Nov 06 2014 |
Enareta Kurtbegu and Juliana Caicedo-llano |
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European equity fund managers: luck or skill?! |
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Abstract Contact Information Citation Full Text - Note |
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Aug 06 2014 |
Sami Attaoui and Pierre Six |
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Hedging demand and the certainty equivalent of wealth |
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Abstract Contact Information Citation Full Text - Note |
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Aug 06 2014 |
Kevin Currier |
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Some implications of design element choice when combining a green quota with a system of feed-in tariffs |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Mar 04 2014 |
Riccardo Calcagno and Maria Cesira Urzi Brancati |
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Do more financially literate households invest less in housing? Evidence from Italy. |
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Abstract Contact Information Citation Full Text - Note |
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Dec 23 2013 |
Bruno Milani and Paulo Sergio Ceretta |
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Do Brazilian REITs depend on Real Estate sector companies or Overall Market? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Dec 23 2013 |
M. Hossein Partovi |
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Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Nov 05 2013 |
Julien Chevallier , Florian Ielpo and Ling-Ni Boon |
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Common risk factors in commodities |
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Abstract Contact Information Citation Full Text - Note |
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Jul 17 2013 |
Iuliana Matei |
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Government bond market linkages within EMU: evidence from a multivariate Granger causality analysis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jul 11 2013 |
Philippe Bernard and Michel Blanchard |
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The performance of amateur traders on a public internet site: a case of a stock-exchange contest |
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Abstract Contact Information Citation Full Text - Note |
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Jun 24 2013 |
Elie I Bouri |
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Correlation and Volatility of the MENA Equity Markets in Turbulent Periods, and Portfolio Implications |
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Abstract Contact Information Citation Full Text - Note |
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May 21 2013 |
Renato Bruni , Francesco Cesarone , Andrea Scozzari and Fabio Tardella |
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No arbitrage and a linear portfolio selection model |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Apr 18 2013 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Pair Copula Construction based Expected Shortfall estimation |
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Abstract Contact Information Citation Full Text - Note |
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Dec 24 2012 |
Renato Bruni , Francesco Cesarone , Andrea Scozzari and Fabio Tardella |
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A new stochastic dominance approach to enhanced index tracking problems |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Oct 08 2012 |
Mohamed El Hédi Arouri , Amine Lahiani and Duc Khuong Nguyen |
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Oil-stock volatility transmission, portfolio selection and hedging |
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Abstract Contact Information Citation Full Text - Note |
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Sep 05 2012 |
Carmine Trecroci |
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Uncertainty and the Dynamics of Multifactor Loadings and Pricing Errors |
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Abstract Contact Information Citation Full Text - Note |
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Jul 23 2012 |
Paulo Sergio Ceretta , Marcelo Brutti Righi , Alexandre Silva Da costa and Fernanda Maria Muller |
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Quantiles autocorrelation in stock markets returns |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jul 03 2012 |
João Caldeira , Guilherme Moura and André A.P. Santos |
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Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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May 18 2012 |
Hans Bystrom |
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Executive compensation based on asset values |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Apr 09 2012 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach |
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Abstract Contact Information Citation Full Text - Note |
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Jan 23 2012 |
Hakan M. Berument , Zulal S Denaux and Yeliz Yalcin |
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How does the Exchange Rate Movement Affect Macroeconomic Performance? A VAR Analysis with Sign Restriction Approach– Evidence from Turkey |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jan 20 2012 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Predicting the risk of global portfolios considering the non-linear dependence structures |
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Abstract Contact Information Citation Full Text - Note |
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Jan 13 2012 |
Martín Jorge Egozcue |
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Gains from diversification: a regret theory approach |
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Abstract Contact Information Citation Full Text - Note |
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Jan 13 2012 |
Connie Bayudan-Dacuycuy |
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The Philippine export portfolio in the product space: potentials, possibilities and policy challenges |
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Abstract Contact Information Citation Full Text - Note |
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Oct 14 2011 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Extreme values dependence of risk in Latin American markets |
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Abstract Contact Information Citation Full Text - Note |
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Jun 13 2011 |
Marcelo Brutti Righi and Paulo Sérgio Ceretta |
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Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach |
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Abstract Contact Information Citation Full Text - Note |
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May 12 2011 |
Steven W. Sumner and Guy Yamashiro |
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Bank liabilities and the monetary transmission mechanism |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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May 12 2011 |
Riccardo Calcagno and Mariacristina Rossi |
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Portfolio Choice and Precautionary Savings |
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Abstract Contact Information Citation Full Text - Note |
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Jan 10 2011 |
Julien Chevallier |
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Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model |
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Abstract Contact Information Citation Full Text - Note |
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Nov 08 2010 |
Masato Ubukata |
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Large-scale portfolios using realized covariance matrix: evidence from the Japanese stock market |
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Abstract Contact Information Citation Full Text - Note |
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Nov 03 2010 |
George Milunovich and Ronald Ripple |
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Crude Oil Volatility: Hedgers or Investors |
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Abstract Contact Information Citation Full Text - Note |
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Jul 16 2010 |
Bolong Cao , Shamila Jayasuriya and William Shambora |
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Holding a commodity futures index fund in a globally diversified portfolio: A placebo effect? |
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Abstract Contact Information Citation Full Text - Note |
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May 06 2010 |
Khurshid Kiani |
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Predictable Signals in Excess Returns: Evidence from Non-Gaussian State Space Models |
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Abstract Contact Information Citation Full Text - Note |
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Mar 30 2010 |
Yves Jegourel and Samuel Maveyraud |
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A reassessment of the European SRI Funds "underperformance": does the intensity of extra-financial negative screening matter? |
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Abstract Contact Information Citation Full Text - Note |
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Oct 19 2009 |
Hisako Kai |
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Competition and wide outreach of Microfinance Institutions |
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Abstract Contact Information Citation Full Text - Note |
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Aug 24 2009 |
Sylvain M. Prado |
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The European used-car market at a glance:
Hedonic resale price valuation in automotive leasing industry |
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Abstract Contact Information Citation Full Text - Note |
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Jun 28 2009 |
Juliana Caicedo-llano and Catherine Bruneau |
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Co-movements of international equity markets: a large-scale factor model approach |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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May 25 2009 |
Giuseppe Cavaliere , Luca Fanelli and Attilio Gardini |
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Consumption risk sharing and adjustment costs |
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Abstract Contact Information Citation Full Text - Note |
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May 06 2009 |
Hammoudi Abdelhakim and Giraud-héraud Eric |
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On the Existence and uniqueness of Price Equilibrium with Multi-Store Firms |
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Abstract Contact Information Citation Full Text - Note |
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Apr 17 2009 |
Paolo M. Panteghini |
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On the equivalence between labor and consumption taxation |
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Abstract Contact Information Citation Full Text - Note |
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Mar 23 2009 |
Hock-Ann Lee , Kian-Ping Lim and Venus Khim-Sen Liew |
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Is There Any International Diversification Benefits in ASEAN Stock Markets? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Aug 08 2008 |
Andrea Morone |
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Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment |
|
Abstract Contact Information Citation Full Text - Note |
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Apr 21 2008 |
Takaaki Aoki |
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One Proposition about Dynamic Portfolio Selection in an Open Economy and International Diversification |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Mar 07 2008 |
Parikshit Ghosh |
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Price Discrimination As Portfolio Diversification |
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Abstract Contact Information Citation Full Text - Note |
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Jan 28 2008 |
Rebecca Neumann and Ron Penl |
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Volatile capital flows: Interactions between de jure and de facto financial liberalization |
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Abstract Contact Information Citation Full Text - Note |
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Oct 11 2007 |
Hideki Nishigaki |
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The Impact of a Net Increase in Japanese Investment in Foreign Assets on the Yen Rate |
|
Abstract Contact Information Citation Full Text - Note |
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Sep 19 2007 |
Tsangyao Chang , Yu-Chen Wei and Yang-Cheng Lu |
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An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan |
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Abstract Contact Information Citation Full Text - Note |
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Jun 20 2007 |
virginie terraza and stephane mussard |
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New trading risk indexes: application of the shapley value in finance |
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Abstract Contact Information Citation Full Text - Preliminary Result |
|
Sep 26 2006 |
Diego Nocetti |
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Portfolio Selection with Endogenous Estimation Risk |
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Abstract Contact Information Citation Full Text - Note |
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Sep 05 2006 |
Erdal Atukeren and Aylin Seçkin |
|
Art and the Economy: A First Look at the Market for Paintings in Turkey |
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Abstract Contact Information Citation Full Text - Note |
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Jul 03 2006 |
Fulvia Focker and Umberto Triacca |
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A new proxy of the average volatility of a basket of returns: A Monte Carlo study |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Apr 03 2006 |
Tsangyao Chang and Yang-Cheng Lu |
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Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Dec 06 2005 |
Sergio Da Silva , Newton Da Costa, Jr , Joao Tusi and Andre Santos |
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Evaluating Brazilian mutual funds with stochastic frontiers |
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Abstract Contact Information Citation Full Text - Note |
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Jul 25 2005 |
Jean Fernand Nguema |
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Stochastic dominance on optimal portfolio with one risk-less and two risky assets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jun 20 2005 |
Mao-wei Hung and Hsiao-yuan Yu |
|
Capital Flow, Nontradable Consumption and Home Bias |
|
Abstract Contact Information Citation Full Text - Note |
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Feb 03 2005 |
Panayiotis Petrakis and Stylianos Kotsios |
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The dynamics of structural change under risk influence |
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Abstract Contact Information Citation Full Text - Note |
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Nov 05 2004 |
Stephen LeRoy |
|
Bubbles and the Intertemporal Government Budget Constraint |
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Abstract Contact Information Citation Full Text - Note |
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Oct 28 2004 |
Mark McCabe |
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Information goods and endogenous pricing strategies: the case of academic journals |
|
Abstract Contact Information Citation Full Text - Note |
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Oct 25 2004 |
M. Hossein Partovi and Michael Caputo |
|
Principal Portfolios: Recasting the Efficient Frontier |
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Abstract Contact Information Citation Full Text - Preliminary Result |
|
Apr 27 2004 |
David A. Hennessy |
|
Orthogonal Subgroups for Portfolio Choice |
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Abstract Contact Information Citation Full Text - Note |
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Mar 18 2004 |
AROURI Mohamed El Hedi |
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The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification: Evidence from a Multivariate Approach with Time Varying Risk. |
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Abstract Contact Information Citation Full Text - Note |
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