Spillovers and diversification potential of bank equity returns from developed and emerging America

We examine the network spillovers, portfolio allocation characteristics and diversification potential of bank returns from developed and emerging America. We draw our results by applying a directional spillover index, the tail-event driven network (TENET) and nonlinear portfolio optimization methods...

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Detalles Bibliográficos
Autores principales: Arreola Hernandez, Jose, Kang, Sang Hoon, Shahzad, Syed Jawad Hussain, Yoon, Seong-Min
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7213009/
http://dx.doi.org/10.1016/j.najef.2020.101219

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7213009/
http://dx.doi.org/10.1016/j.najef.2020.101219

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