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: | 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 |
Similar Items
-
Correction to: Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios
by: Mustafa Demirel, et al.
Published: (2021-01-01) -
Multivariate volatility modeling of medium and large size portfolios
by: Čech, František
Published: (2019) - Univariate and Multivariate Volatility Models for Portfolio Value at Risk
-
Empirical Studies on Return and Volatility of Emerging Bond Markets
by: Jia-Hua Lin, et al.
Published: (2011) -
The Study of Optimal Portfolio Selection with Factor Multivariate Volatility Models
by: TA-WEI HUANG, et al.
Published: (2017)