Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios
Abstract This study examines emerging market (EM) local bonds from a portfolio risk perspective and suggests methodologies for risk evaluation, on which the literature is limited. Despite the growth of EM bond funds in recent years, comprehensive studies regarding this industry have been scarce. In...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-12-01
|
| Series: | Financial Innovation |
| Online Access: | https://doi.org/10.1186/s40854-020-00203-3 |