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...

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Bibliographic Details
Main Authors: Mustafa Demirel, Gazanfer Unal
Format: Article
Language:English
Published: SpringerOpen 2020-12-01
Series:Financial Innovation
Online Access:https://doi.org/10.1186/s40854-020-00203-3

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