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dc.contributor.authorHenry, Olan T.en_US
dc.contributor.authorOLEKALNS, NILSSen_US
dc.contributor.authorShields, Kalvinderen_US
dc.date.accessioned2014-05-22T10:13:40Z
dc.date.available2014-05-22T10:13:40Z
dc.date.issued2004-06en_US
dc.date.submitted2004-11-03en_US
dc.identifier.citationHenry, Olan T. and Olekalns, Nilss and Shields, Kalvinder (2004) Time Variation and Asymmetry in the World Price of Covariance Risk: The Implications for International Diversification.en_US
dc.identifier.urihttp://hdl.handle.net/11343/33804
dc.description.abstractThe 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.en_US
dc.formatapplication/pdfen_US
dc.languageengen_US
dc.relation.isversionofhttp://www.economics.unimelb.edu.au/research/workingpapers/wp04/907.pdfen_US
dc.subjectGeneralised Impulse Responses; Asymmetry; International Capital Asset Pricing Modelen_US
dc.subjectInternational Financeen_US
dc.titleTime Variation and Asymmetry in the World Price of Covariance Risk: The Implications for International Diversificationen_US
dc.typePreprinten_US
melbourne.peerreviewNon Peer Revieweden_US
melbourne.affiliation.departmentEconomics and Commerce: Department of Economicsen_US
melbourne.source.month06en_US
melbourne.elementsidNA
melbourne.contributor.authorHENRY, OLAN
melbourne.contributor.authorOlekalns, Nilss
melbourne.contributor.authorShields, Kalvinder
melbourne.accessrightsOpen Access


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