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• W2008256056 abstract "This paper investigates the relationship between the excess returns of foreign exchanges and the conditional volatility of domestic and foreign equity markets, based on a wide range of foreign currency market data. Utilising a VAR-GARCH-in-mean process to generate conditional variances, we find evidence to support the time varying, risk-premium hypothesis. Moreover, our evidence shows that the volatility evolution of stock returns displays not only a clustering phenomenon, but also a significant spillover effect. Given the fact that the correlation structure across markets is significant and time varying, investors and portfolio managers should continually assess this information and rebalance their portfolios over time to achieve optimal diversification." @default.
• W2008256056 created "2016-06-24" @default.
• W2008256056 creator A5039525186 @default.
• W2008256056 creator A5083883603 @default.
• W2008256056 date "2003-01-01" @default.
• W2008256056 modified "2023-09-25" @default.
• W2008256056 title "Foreign exchange risk premiums and time-varying equity market risks" @default.
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• W2008256056 doi "https://doi.org/10.1504/ijram.2003.003828" @default.
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