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Keywords: Asymmetric multivariate GARCH-M
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2018) 44 (12): 1434–1445.
Published: 06 November 2018
... with asymmetric multivariate GARCH-M specification is used to estimate international diversification gains. Findings The authors find that over the entire sample period, the average gains from international diversification is statistically significant and about 1.253 percent per year. During the subprime...
