create a website

International Asset Pricing and the Benefits from World Market Diversification. (2002). Nilsson, Birger.
In: Working Papers.
RePEc:hhs:lunewp:2002_001.

Full description at Econpapers || Download paper

Cited: 8

Citations received by this document

Cites: 30

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Effect of the Political Regime on Asset Returns in Emerging Markets: An Empirical Investigation. (2012). Dutta, Nabamita.
    In: South Asian Journal of Macroeconomics and Public Finance.
    RePEc:sae:smppub:v:1:y:2012:i:1:p:135-156.

    Full description at Econpapers || Download paper

  2. THE PRICE OF RISK IN THE SOUTH AFRICAN EQUITY MARKET. (2007). Samouilhan, Nicholas.
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:75:y:2007:i:3:p:442-458.

    Full description at Econpapers || Download paper

  3. Intégration financière et diversification internationale des portefeuilles. (2005). Mohamed EL HEDI AROURI, .
    In: Économie et Prévision.
    RePEc:prs:ecoprv:ecop_0249-4744_2005_num_168_2_7423.

    Full description at Econpapers || Download paper

  4. Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management. (2004). Wagner, Martin ; Schmidheiny, Kurt ; Hlouskova, Jaroslava.
    In: Cahiers de Recherches Economiques du Département d'économie.
    RePEc:lau:crdeep:04.10.

    Full description at Econpapers || Download paper

  5. The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification: Evidence from a Multivariate Approach with Time Varying Risk.. (2004). El Hedi, AROURI Mohamed .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:6:y:2004:i:3:p:1-13.

    Full description at Econpapers || Download paper

  6. The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification: Evidence from a Multivariate Approach with Time Varying Risk.. (2004). AROURI, Mohamed ; El Hedi, AROURI Mohamed .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-03f30007.

    Full description at Econpapers || Download paper

  7. Testing for contagion in international financial markets: which way to go?. (2003). Waelti, Sébastien.
    In: IHEID Working Papers.
    RePEc:gii:giihei:heiwp04-2003.

    Full description at Econpapers || Download paper

  8. Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management. (2002). Wagner, Martin ; Schmidheiny, Kurt ; Hlouskova, Jaroslava.
    In: Diskussionsschriften.
    RePEc:ube:dpvwib:dp0212.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Adler M. and B. Dumas (1983): International Portfolio Choice and Corporation Finance: A Synthesis, Journal of Finance, 38, 925-984.

  2. Bollerslev T. (1990): Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model, Review of Economics and Statistics, 31, 498- 505.

  3. Bollerslev T. and J. Wooldridge (1992): Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances, Econometric Reviews, 11, 143-172.
    Paper not yet in RePEc: Add citation now
  4. Boucrelle C., Solnik B. and L. Yann (1996): International Market Correlation and Volatility, Financial Analyst Journal, 52, 17-34.
    Paper not yet in RePEc: Add citation now
  5. Carrieri F. (2001): The Effects of Liberalisation on Market and Currency Risk in the European Union, European Financial Management, 7, 259-290.

  6. Chan K., A. Karolyi and R. Stulz (1992): Global Financial Markets and the Risk Premium on US Equity, Journal of Financial Economics, 32, 137-168.

  7. Chang E., E. Eun and R. Kolodny (1995): International Diversification through Closed-End Country Funds, Journal of Banking and Finance, 19, 1237-1263.

  8. Cho Y. and R. Engle (1999): Time-Varying Betas and Asymmetric Effects of News: Empirical Analysis of Blue Chip Stocks, Working Paper 7330, NBER.

  9. Christie A. (1982): The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects, Journal of Financial Economics, 10, 407-432.

  10. Corona A., Marchesi M., C. Martini and S. Ridella (1987): Minimizing Multimodal Functions of Continuous Variables with the Simulated Annealing Algorithm, ACM Transactions on Mathematical Software, 13, 262-280.
    Paper not yet in RePEc: Add citation now
  11. De Santis G. and B. Gérard (1998): How Big is the Premium for Currency Risk, Journal of Financial Economics, 49, 375-412.

  12. Ding Z. and R Engle (1994): Large Scale Covariance Matrix Modeling, Estimation and Test- ing, Working Paper, University of California, San Diego.
    Paper not yet in RePEc: Add citation now
  13. Dumas B. (1994): Partial Equilibrium versus General Equilibrium Models of the International Capital Market, in Van Der Ploeg F. (ed.): The Handbook of International Macroeco- nomics, Cambridge Ma. Basil Blackwell.
    Paper not yet in RePEc: Add citation now
  14. Engle R. and K. Kroner (1995): Multivariate Simultaneous Generalized ARCH, Econometric Theory, 11, 122-150.

  15. Engle R. and V. Ng (1993): Measuring and Testing the Impact of News on Volatility, Journal of Finance, 48, 1749-1778.

  16. Fishman G. (1996): Monte Carlo Concepts, Algorithms and Applications, Springer-Verlag.
    Paper not yet in RePEc: Add citation now
  17. Glosten L., R. Jagannathan and D. Runkle (1993): Relationship Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, Journal of Finance, 48, 1779-1801.

  18. Goffe W., G. Ferrier and J. Rogers (1994): Global Optimization of Statistical Functions with Simulated Annealing, Journal of Econometrics, 60, 65-99.

  19. Gouriéroux C. (1997): ARCH Models and Financial Applications, Springer-Verlag.
    Paper not yet in RePEc: Add citation now
  20. Griffin J. and A. Karolyi (1998): Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies, Journal of Financial Economics, 50, 352-373.

  21. Grubel H. (1968): Internationally Diversified Portfolios: Welfare Gains and Capital Flows, American Economic Review, 58, 1299-1314.
    Paper not yet in RePEc: Add citation now
  22. Harvey C. (1991): The World Price of Covariance Risk, Journal of Finance, 46, 111-158.

  23. Harvey C. and A. Siddique (2000): Conditional Skewness in Asset Pricing Tests, Journal of Finance, 55, 1263-1295.

  24. Kroner K. and V. Ng (1998): Modeling Asymmetric Comovements of Asset Returns, Review of Financial Studies, 11, 817-844.

  25. Levy H. and M. Sarnat (1970): International Diversification for Investment Portfolios, Amer- ican Economic Review, 60, 668-675.

  26. Lin W., R. Engle and T. Ito (1994): Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility, Review of Financial Studies, 7, 507-538.

  27. Markowitz H. (1952): Portfolio Selection, Journal of Finance, 7, 77-91.
    Paper not yet in RePEc: Add citation now
  28. Ng L. (1991): Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach, Journal of Finance, 46, 1507-1521.

  29. Sharpe W. (1964): Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 19, 425-442.

  30. Solnik B. (1997): Going Global with Equities, Financial Analyst Journal, 53, 95-96.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Time-varying performance of international mutual funds. (2012). Turtle, H. J. ; Zhang, Chengping.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:3:p:334-348.

    Full description at Econpapers || Download paper

  2. The Impact of Macroeconomic Variables on Corporate Performance - What Shareholders Ought to Know?. (2007). Oxelheim, Lars.
    In: Working Paper Series.
    RePEc:hhs:iuiwop:0571.

    Full description at Econpapers || Download paper

  3. Is Home Bias in Assets Related to Home Bias in Goods?. (2006). Warnock, Francis ; van Wincoop, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12728.

    Full description at Econpapers || Download paper

  4. Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US. (2006). Lewis, Karen.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12697.

    Full description at Econpapers || Download paper

  5. The Performance of International Equity Portfolios. (2006). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12346.

    Full description at Econpapers || Download paper

  6. The Performance of International Equity Portfolios. (2006). Thomas, Charles.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp162.

    Full description at Econpapers || Download paper

  7. Evaluating a nonlinear asset pricing model on international data. (2006). Asgharian, Hossein ; Karlsson, Sonnie.
    In: Working Papers.
    RePEc:hhs:lunewp:2006_005.

    Full description at Econpapers || Download paper

  8. Foreign exchange volatility is priced in equities. (2006). Neely, Christopher ; Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-029.

    Full description at Econpapers || Download paper

  9. Home bias in global bond and equity markets: the role of real exchange rate volatility. (2006). Thimann, Christian ; Fratzscher, Marcel ; Fidora, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006685.

    Full description at Econpapers || Download paper

  10. Financial integration of new EU Member States. (2006). Manganelli, Simone ; Cappiello, Lorenzo ; Gerard, Bruno ; Kadareja, Arjan.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006683.

    Full description at Econpapers || Download paper

  11. German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs. (2005). , Jamin.
    In: International Finance.
    RePEc:wpa:wuwpif:0508005.

    Full description at Econpapers || Download paper

  12. Explaining exchange rate dynamics: the uncovered equity return parity condition. (2005). De Santis, Roberto ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005529.

    Full description at Econpapers || Download paper

  13. La recherche française en finance:une perspective à travers les travaux des enseignants-chercheurs en gestion sur la période 1994-2003. (2005). Schatt, Alain ; Charreaux, Gerard.
    In: Working Papers CREGO.
    RePEc:dij:wpfarg:1051001.

    Full description at Econpapers || Download paper

  14. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Schotman, Peter C ; Zalewska, Ania.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5352.

    Full description at Econpapers || Download paper

  15. Home Bias and International Risk Sharing: Twin Puzzles Separated at Birth. (2005). Sorensen, Bent ; Zhu, YU ; Wu, Yi-Tsung ; Yosha, Oved.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5113.

    Full description at Econpapers || Download paper

  16. Return-volatility linkages in the international equity and currency markets. (2004). HASAN, IFTEKHAR ; Hunter, Delroy M. ; Francis, Bill B..
    In: Finance.
    RePEc:wpa:wuwpfi:0405022.

    Full description at Econpapers || Download paper

  17. TIME VARIATION AND ASYMMETRY IN THE WORLD PRICE OF COVARIANCE RISK: THE IMPLICATIONS FOR INTERNATIONAL DIVERSIFICATION. (2004). Shields, Kalvinder ; Olekalns, Nilss ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:907.

    Full description at Econpapers || Download paper

  18. The Performance of International Equity Portfolios. (2004). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:817.

    Full description at Econpapers || Download paper

  19. That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds. (2004). Thorp, Susan.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:148.

    Full description at Econpapers || Download paper

  20. Keeping up with the Joneses: An international asset pricing model. (2003). Priestly, Richard ; Gomez, Juan-Pedro ; Zapatero, Fernando.
    In: Economics Working Papers.
    RePEc:upf:upfgen:694.

    Full description at Econpapers || Download paper

  21. Exchange Rate Pegs and Foreign Exchange Exposure in East Asia. (2002). Popper, Helen ; Parsley, David.
    In: International Finance.
    RePEc:wpa:wuwpif:0211001.

    Full description at Econpapers || Download paper

  22. Are Financial Assets Priced Locally or Globally?. (2002). Stulz, René ; Karolyi, G..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8994.

    Full description at Econpapers || Download paper

  23. International Asset Pricing and the Benefits from World Market Diversification. (2002). Nilsson, Birger.
    In: Working Papers.
    RePEc:hhs:lunewp:2002_001.

    Full description at Econpapers || Download paper

  24. Emerging market liberalization and the impact on uncovered interest rate parity. (2002). HASAN, IFTEKHAR ; Hunter, Delroy ; Francis, Bill.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-16.

    Full description at Econpapers || Download paper

  25. An Evaluation of International Asset Pricing Models. (2002). Sallstrom, Torbjorn ; Dahlquist, Magnus.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3145.

    Full description at Econpapers || Download paper

  26. Corporate Financial Policies and Performance Prior to Currency Crises. (2001). Koskinen, Yrjö ; Pons, Vicente ; Bris, Arturo.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2001-386.

    Full description at Econpapers || Download paper

  27. Corporate Financial Policies and Performance Around Currency Crises. (2001). Koskinen, Yrjö ; Pons, Vicente ; Bris, Arturo.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0467.

    Full description at Econpapers || Download paper

  28. The Cost of Capital in International Financial Markets: Local or Global. (2001). van Dijk, Mathijs ; Kool, Clemens ; Schotman, Peter ; Kool, Clemens J. M., ; Koedijk, Kees.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3062.

    Full description at Econpapers || Download paper

  29. The selection of multinational equity portfolios: forecasting models and estimation risk. (2000). Nigel Meade, Gerry R. Salkin, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:3:p:259-279.

    Full description at Econpapers || Download paper

  30. International bond markets and the introduction of the Euro. (2000). Kool, Clemens ; Clemens J. M. Kool, .
    In: Review.
    RePEc:fip:fedlrv:y:2000:i:sep:p:41-56:n:v.82no.5.

    Full description at Econpapers || Download paper

  31. Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns. (2000). Vassalou, Maria .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2448.

    Full description at Econpapers || Download paper

  32. An International Dynamic Asset Pricing Model. (1999). Ng, David ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7157.

    Full description at Econpapers || Download paper

  33. Risk and International Parity Conditions: A Synthesis from Consumption Based Models. (1997). Chiang, Thomas ; JOSÉ A. TRINIDAD, .
    In: International Economic Journal.
    RePEc:taf:intecj:v:11:y:1997:i:2:p:73-101.

    Full description at Econpapers || Download paper

  34. Tests of Three Parity Conditions: Distinguishing Risk Premia and Systematic Forecast Errors. (1994). Marston, Richard C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4923.

    Full description at Econpapers || Download paper

  35. Why is Capital so Immobile Internationally?: Possible Explanations and Implications for Capital Income Taxation. (1994). Gordon, Roger ; Bovenberg, Lans.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4796.

    Full description at Econpapers || Download paper

  36. International Portfolio Choice and Asset Pricing: An Integrative Survey. (1994). Stulz, René.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4645.

    Full description at Econpapers || Download paper

  37. International Equity Transactions and U.S. Portfolio Choice. (1994). Tesar, Linda ; Werner, Ingrid M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4611.

    Full description at Econpapers || Download paper

  38. Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets. (1993). Ito, Takatoshi ; Lin, Wen-Ling.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4592.

    Full description at Econpapers || Download paper

  39. Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment. (1993). Svensson, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4544.

    Full description at Econpapers || Download paper

  40. The World Price of Foreign Exchange Risk. (1993). Dumas, Bernard ; Solnik, Bruno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4459.

    Full description at Econpapers || Download paper

  41. Home Bias and the High Turnover. (1992). Tesar, Linda ; Werner, Ingrid M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4218.

    Full description at Econpapers || Download paper

  42. The Globalization of Information and Capital Mobility. (1990). Branson, William H. ; Jaffee, Dwight M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3496.

    Full description at Econpapers || Download paper

  43. The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk. (1990). Svensson, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3466.

    Full description at Econpapers || Download paper

  44. Promoting Investment under International Capital Mobility: An Intertemporal General Equilibrium Analysis. (1989). Bovenberg, Lans ; Goulder, Lawrence H..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3139.

    Full description at Econpapers || Download paper

  45. Trade Liberalization in General Equilibrium: Intertemporal and Inter-Industry Effects. (1989). Eichengreen, Barry ; Goulder, Lawrence H..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2965.

    Full description at Econpapers || Download paper

  46. Equilibrium Exchange Rate Hedging. (1989). Black, Fischer .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2947.

    Full description at Econpapers || Download paper

  47. Pricing Physical Assets Internationally. (1988). Dumas, Bernard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2569.

    Full description at Econpapers || Download paper

  48. Consumption Risk and International Asset Returns: Some Empirical Evidence. (1987). Cumby, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2383.

    Full description at Econpapers || Download paper

  49. Capital Flows, Investment, and Exchange Rates. (1985). Svensson, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1598.

    Full description at Econpapers || Download paper

  50. Asset Markets, Tariffs, and Political Risk. (1984). Dellas, Harris.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1413.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-12 23:20:30 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.