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Time-varying Integration and International diversification strategies

  • Published:2009-06 Issue:3 Volume:16 Page:368-387
  • ISSN:0927-5398
  • Container-title:Journal of Empirical Finance
  • language:en
  • Short-container-title:Journal of Empirical Finance

Author:

Baele Lieven,Inghelbrecht Koen

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference50 articles.

1. International asset allocation with regime shifts;Ang;Review of Financial Studies,2002

2. The rise of sector effects in major equity markets;Baca;Financial Analyst Journal,2000

3. Volatility spillover effects in European equity markets;Baele;Journal of Financial and Quantitative Analysis,2005

4. Baele, Lieven, Inghelbrecht, Koen, 2008, Time-varying integration, interdependence and contagion, Working Paper.

5. Does the stock market value bank diversification?;Baele;Journal of Banking and Finance,2007

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