Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period
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DOI: 10.1016/j.jimonfin.2014.01.006
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Cited by:
- Miralles-Quirós, José Luis & Miralles-Quirós, María del Mar, 2017. "The Copula ADCC-GARCH model can help PIIGS to fly," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 1-12.
- Alexander, Carol & Korovilas, Dimitris & Kapraun, Julia, 2016. "Diversification with volatility products," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 213-235.
- Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.
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More about this item
Keywords
Value at risk; Euro-zone equity markets; Augmented portfolios; Subperiods;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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