Economics - Research Publications

Permanent URI for this collection

http://hdl.handle.net/11343/417

Filters

2004 1
Reset filters

Settings
Statistics
Citations
Subject: International Finance × Subject: Generalised Impulse Responses; Asymmetry; International Capital Asset Pricing Model × Type: Preprint ×

Search Results

Now showing 1 - 1 of 1
  • Item
    Thumbnail Image
    Time Variation and Asymmetry in the World Price of Covariance Risk: The Implications for International Diversification
    Henry, Olan T. ; OLEKALNS, NILSS ; Shields, Kalvinder ( 2004-06)
    The International Capital Asset Pricing Model measures countryrisk in terms of the conditional covariance of national returns withthe world return. Using impulse responses from a multivariate nonlinearmodel we provide evidence of time variation and asymmetry inthe measure of country risk. and the implied benefit to internationaldiversification. The evidence implies that the price of risk and the benefitsfrom diversification may differ in a statistically and economicallymeaningful fashion across bull and bear markets.