This paper proposes a new generalized autoregressive conditionally heteroskedastic
(GARCH) process, the asymmetric generalized dynamic conditional correlation (AG-DCC) …

Given the increasingly global nature of investment portfolios, an understanding of country
risk is very important. This article addresses the economic content of five different measures …

We analyze expected returns and volatility in 135 different markets. We argue that country
credit risk is a proxy for the ex-ante risk exposure of, particularly, segmented developing …

At first sight, the idea of investing internationally seems exciting and full of promise because
of the many benefits of international portfolio investment. By investing in foreign securities …

After more than 15 years of Chinese equity markets, we study how variance, covariance, and
correlations have developed in these markets relative to world markets, based on the …

Although much has been written about inflation and stock returns in the United States and
the United Kingdom, little is known about the impact of inflation on a broader menu of …

The paper investigates value and momentum factors in 23 developed international stock
markets. We find that typically value and momentum premia are smaller and more negatively …

We use the Clark [Cross-border investment risk. Euromoney Books (1991a); Euromoney
(1991b); Euromoney (1991c)] methodology to estimate the macroeconomic financial risk …

This study examines the linkages between Brazil, Russia, India, and China (BRICS) stock
market returns, country risk ratings, and international factors via Non-linear Auto Regressive …

This study examines the linkages between Brazil, Russia, India, and China (BRICS) stock
market returns, country risk ratings, and international factors via Non-linear Auto Regressive …