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Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period

  • Published:2014-06 Issue: Volume:44 Page:47-68
  • ISSN:0261-5606
  • Container-title:Journal of International Money and Finance
  • language:en
  • Short-container-title:Journal of International Money and Finance

Author:

Liu Tengdong,Hammoudeh Shawkat,Santos Paulo Araújo

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference27 articles.

1. EMU and Portfolio Diversification Opportunities;Adjaouté,2001

2. European financial integration and equity returns: a theory-based assessment;Adjaouté,2002

3. Portfolio diversification: alive and well in Euroland!;Adjaouté;Appl. Financ. Econ.,2004

4. Modeling and forecasting dynamic VaR thresholds for risk management and Regulation;Allen,2005

5. A new class of independence tests for interval forecasts evaluation;Araújo-Santos;Comput. Stat. Data Anal.,2012

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2. The impact of downside risk on UK stock returns;Review of Accounting and Finance;2019-02-11

3. The Copula ADCC-GARCH model can help PIIGS to fly;Journal of International Financial Markets, Institutions and Money;2017-09

4. Diversification with volatility products;Journal of International Money and Finance;2016-07

5. Global financial crisis and spillover effects among the U.S. and BRICS stock markets;International Review of Economics & Finance;2016-03
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