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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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| Publicado no: | The North American Journal of Economics and Finance |
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| Main Authors: | , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Elsevier Inc.
2020
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7213009/ https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.najef.2020.101219 |
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