Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis

International Review of Financial Analysis

Volumn 39, Issue , 2015, Pages 7-18

  Syriopoulos, Theodore ^a,b   Makram, Beljid ^c   Boubaker, Adel ^c  

^a UNIVERSITY OF THE AEGEAN   (Greece)

^b AUDENCIA BUSINESS SCHOOL   (France)

^c UNIVERSITY OF TUNIS EL MANAR   (Tunisia)

Author keywords

BRICS markets; Dynamic volatility spillovers; Hedge ratios; Optimal portfolio allocation; VAR(k) GARCH(p,q) model

Indexed keywords

EID: 84923026598     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2015.01.015     Document Type: Article

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