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On the robustness of international portfolio diversification benefits to regime-switching volatility. (2007). Panopoulou, Ekaterini ; Flavin, Thomas.
In: Economics, Finance and Accounting Department Working Paper Series.
RePEc:may:mayecw:n1801007.pdf.

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Cited: 5

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Cites: 19

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Cocites: 50

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Coauthors: 0

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Citations

Citations received by this document

  1. On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility. (2008). Unalmis, Deren ; Panopoulou, Ekaterini ; Flavin, Thomas.
    In: Working Papers.
    RePEc:tcb:wpaper:0810.

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  2. On the stability of domestic financial market linkages in the presence of time-varying volatility. (2008). Unalmis, Deren ; Panopoulou, Ekaterini ; Flavin, Thomas.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1981108.pdf.

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  3. Detecting shift and pure contagion in East Asian equity markets: A Unified Approach.. (2008). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1890208.pdf.

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  4. No contagion, only globalization and flight to quality. (2008). Szafarz, Ariane ; Chapelle, Ariane ; Brière, Marie ; Briere, Marie.
    In: DULBEA Working Papers.
    RePEc:dul:wpaper:08-22rs.

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  5. Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach. (2007). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp236.

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References

References cited by this document

  1. Ang, A., Bekaert, G., 2002. International asset allocation with regime shifts. Review of Financial studies, 15, 1137-1187.

  2. Butler, K.C., Joaquin, D.C., 2002. Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets. Journal of International Money and Finance, 21, 981-1011.

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  4. Cramer H., 1928. On the composition of elementary errors, Skandinavisk Aktuarietidskrift, 11, 141-180.
    Paper not yet in RePEc: Add citation now
  5. Dungey, M., Fry, R., Gonzalez-Hermosillo, B., Martin, V.L., (2007). Sampling properties of contagion tests. Unpublished manuscript, University of Cambridge.
    Paper not yet in RePEc: Add citation now
  6. Forbes, K.J., Rigobon, R.J., 2001. Measuring contagion: conceptual and empirical issues. In Claessens, S. and Forbes, K.J. (Eds.), International Financial Contagion, Kluwer Academic Publishers, Boston.
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  7. Forbes, K.J., Rigobon, R.J., 2002. No contagion, only interdependence: measuring stock market comovements. Journal of Finance, 57 (5), 2223-61.

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  11. Grubel, H., 1968. Internationally diversified portfolios: welfare gains and capital flows. American Economic Review 58, 1299-1314.
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  12. Grubel, H., Fadnar, K., 1971. The interdependence of international equity markets. Journal of Finance 26 (1), 89-94.

  13. Guidolin, M., Timmermann, A., 2005. Economic implications of bull and bear regimes in UK stock and bond returns, Economic Journal, 115, 111-143.

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  15. Kaminsky, G.L., Schmukler, S.L., 1999. What triggers market jitters? A chronicle of the Asian crisis. Journal of International Money and Finance, 18, 537-560.

  16. King, M.A., Wadhwani, S., 1990. Transmission of volatility between stock markets. Review of Financial Studies, 3, 5-33.

  17. Levy, H., Lerman, Z., 1988. The benefits of international diversification in bonds. Financial Analysts Journal, 44, 56-64.
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  18. Levy, H., Sarnat, M., 1970. International diversification of investment portfolios. American Economic Review 60, 668-675.

  19. Rigobon, R., 2003. Identification through heteroskedasticity. The Review of Economics and Statistics, 85(4), 777-792.

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