About: Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets

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Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://journal.fsv.cuni.cz/storage/1283_425-42---avdulaj.pdf
Description	One of the findings of the recent literature is that the 2008 financial crisis caused a reduction in international diversification benefits. To fully understand the potential of diversification, we build an empirical model which combines generalized autoregressive score copula functions with high-frequency data and allows us to capture and forecast the conditional time-varying joint distribution of stock returns. Using this novel methodology and fresh data covering five years after the crisis, we compute the conditional diversification benefits to answer the question of whether it is still interesting for an international investor to diversify. As diversification tools, we consider the Czech PX and the German DAX broad stock indices, and we find that the diversification benefits strongly vary over the 2008-2013 crisis years. One of the findings of the recent literature is that the 2008 financial crisis caused a reduction in international diversification benefits. To fully understand the potential of diversification, we build an empirical model which combines generalized autoregressive score copula functions with high-frequency data and allows us to capture and forecast the conditional time-varying joint distribution of stock returns. Using this novel methodology and fresh data covering five years after the crisis, we compute the conditional diversification benefits to answer the question of whether it is still interesting for an international investor to diversify. As diversification tools, we consider the Czech PX and the German DAX broad stock indices, and we find that the diversification benefits strongly vary over the 2008-2013 crisis years. (en)
Title	Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets (en)
skos:prefLabel	Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets (en)
skos:notation	RIV/00216208:11230/13:10159093!RIV14-GA0-11230___
http://linked.open...avai/predkladatel	Fakulta sociálních věd
http://linked.open...avai/riv/aktivita	I P S
http://linked.open...avai/riv/aktivity	I, P(GBP402/12/G097), S
http://linked.open...iv/cisloPeriodika	5
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Baruník, Jozef Avdulaj, Krenar
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	64197
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/13:10159093
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	time-varying copulas; high-frequency data; dynamic correlations; portfolio diversification (en)
http://linked.open.../riv/klicoveSlovo	high-frequency data portfolio diversification time-varying copulas dynamic correlations
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[149834E5D6F4]
http://linked.open...i/riv/nazevZdroje	Finance a úvěr
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	DYME-Dynamic Models in Economics
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	63
http://linked.open...iv/tvurceVysledku	Baruník, Jozef Avdulaj, Krenar
http://linked.open...ain/vavai/riv/wos	000326923700003
issn	0015-1920
number of pages	18 (xsd:int)
http://localhost/t...ganizacniJednotka	11230

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