TIME VARIATION AND ASYMMETRY IN THE WORLD PRICE OF COVARIANCE RISK: THE IMPLICATIONS FOR INTERNATIONAL DIVERSIFICATION

Preprint OPEN
Olan T. Henry; Nilss Olekalns; Kalvinder Shields;
(2004)
  • Subject: Generalised Impulse Responses; Asymmetry; International Capital Asset Pricing Model.
    • jel: jel:F30 | jel:G15
    mesheuropmc: health care economics and organizations

The International Capital Asset Pricing Model measures country risk in terms of the conditional covariance of national returns with the world return. Using impulse responses from a multivariate nonlinear model we provide evidence of time variation and asymmetry in the m... View more
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