The relevance of international diversification: An analysis using VAR-GARCH-DCC modeling (notice n° 226446)
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| fixed length control field | 01711cam a2200301 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250112061320.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Montassar, Zayati |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | The relevance of international diversification: An analysis using VAR-GARCH-DCC modeling |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2022.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 89 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This article aims to measure the gains of international portfolio diversification using a dynamic approach. To do this, we develop a conditional VAR-GARCH-DCC model of expected earnings for investors from several countries. Our sample includes the oil index and seven stock markets. We empirically show that the performance of international portfolios is superior to local performance for all investors. This performance varies depending on dynamic correlation and the weight that investors allocate to each market. Our results also show the continued superiority of international diversification over domestic diversification on the one hand, and that emerging markets continue to perform better on the other. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | portfolio diversification |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | multivariate asymmetric GARCH |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | dynamic correlation |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | CAPM |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | international assessment |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | International valuation |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Portfolio diversification |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | dynamic correlation |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | GARCH Multivariate Asymmetric |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | CAPM |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Bellalah, Makram |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Chaabene, Améni Sallemi |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | La Revue des Sciences de Gestion | o 311 | 5 | 2022-01-31 | p. 129-137 | 1160-7742 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-revue-des-sciences-de-gestion-2021-5-page-129?lang=en">https://shs.cairn.info/journal-revue-des-sciences-de-gestion-2021-5-page-129?lang=en</a> |
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