This paper examines the short-and long-term relationships between the US stock market
and three Central European markets. Low short-term correlations between these markets …

This study employs the Vector Autoregressive-Generalized Autoregressive Conditional
Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers …

Using 24 years of data, we show that emerging market equities are a worthy addition to a US
investor's portfolio of developed market equities. Specifically, portfolio returns increased by …

This paper studies the international portfolio diversification benefits in equity investing from
the perspective of an American investor in a context of a growing market correlation …

Portfolio managers in the international fixed income markets must address jointly the interest
rate risk in each market and the exchange rate volatility across markets. This paper develops …

We examine the issue of possible diversification benefits into three leading Central
European equity markets. We construct portfolios for both US and German investors using …

Refers to previous research on the advantages of international portfolio diversification, gives
an overview of the stock markets in Bahrein, Kuwait and Saudi Arabia; and assesses their …

Abstract Garcia-Feijoo, Jensen, and Johnson evaluate the effectiveness of several asset
classes in the hedging of portfolio risk over the 1970-2010 period. Of the alternative assets …

The paper examines the question whether the economic convergence brought about by the
European Monetary Union resulted in increased correlations across EMU equity market …

We address the problem of portfolio management in the international bond markets. Interest
rate risk in the local market, exchange rate volatility across markets, and decisionsfor …