发帖
雷达卡
英文标题：
《Can we still benefit from international diversification? The case of the
Czech and German stock markets》
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作者：
Krenar Avdulaj and Jozef Barunik
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最新提交年份：
2013
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英文摘要：
One of the findings of the recent literature is that the 2008 financial crisis caused reduction in international diversification benefits. To fully understand the possible potential from diversification, we build an empirical model which combines generalised autoregressive score copula functions with high frequency data, and allows us to capture and forecast the conditional time-varying joint distribution of stock returns. Using this novel methodology and fresh data covering five years after the crisis, we compute the conditional diversification benefits to answer the question, whether it is still interesting for an international investor to diversify. As diversification tools, we consider the Czech PX and the German DAX broad stock indices, and we find that the diversification benefits strongly vary over the 2008--2013 crisis years.
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中文摘要：
近期文献的一个发现是，2008年的金融危机导致了国际多元化收益的减少。为了充分理解多元化可能带来的潜力，我们建立了一个经验模型，将广义自回归分数copula函数与高频数据相结合，并允许我们捕获和预测股票回报的条件时变联合分布。利用这一新颖的方法和涵盖危机后五年的新数据，我们计算了有条件的多元化收益来回答这个问题，即国际投资者是否仍有兴趣进行多元化。作为多元化工具，我们考虑了捷克PX和德国DAX广义股票指数，我们发现，在2008年至2013年的危机年份，多元化带来的好处差异很大。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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