Higher education throughout the world faces the dilemma of reconciling its clearly increasing importance—to individuals and nations alike—with its steeply rising costs that almost everywhere seem to be outpacing the ability of government to meet with tax revenue alone. The immediate result in many countries is increasing institutional austerity manifested by overcrowding, demoralization and out...

In the data country portfolios are heavily biased toward domestic assets. Standard onegood international macro models predict that, due to the presence of non-diversifiable labor income risk, country portfolios should be heavily biased toward foreign assets; this discrepancy constitutes the international diversification puzzle (Baxter and Jermann, 1997). We show that a simple extension of one-g...

The growing awareness fhat different national equity markets often perform very differenfly in any given period has led to increased investor interest in international diversification of investment portfolios. It appears that at least for fhe U.S., however, fhis interest has not been translated intt> much actual foreign portfolio investment. One reason tor this may be the relative novelty of to...

During the last decades, the financial markets volatility concept attracted the attention of the theorists and the experts in the field of finance, especially for the internationally diversified wallets. In this article, we used an asymmetric dynamic conditional correlation (DCC-GARCH (1.1)) model following the approach of Engle (2002), to test if the volatility of individual market or their re...

Through their transformation of assets, banks carry a considerably degree of non-diversifiable economic risks on their books, and given that banks are extremely sensitive to deadweight costs of financial distress, we ask whether international extensions of credit may improve the diversification of such risks. Using an unpublished data set on the cross-border claims of banks located in four coun...

Quantifying the evolution of security co-movements is critical for asset pricing and portfolio allocation, and so we investigate patterns and trends in correlations and tail dependence over time using weekly returns for developed markets (DMs) and emerging markets (EMs) during the period 1973-2009. We use the standard DCC and DECO correlation models, but we also develop a nonstationary DECO mod...

In this paper, we examine the scope for international stock portfolio diversification, from the viewpoint of a United States representative investor, in regard to both the Asian and the European stock markets. Our findings indicate that despite correlation style evidence to the contrary, the European stock markets provide a superior long-term diversification opportunity relative to that provide...