How important is asymmetric covariance for the risk premium of international assets?

World market risk, country-specific risk and expected returns in international stock markets

“…In a related study, Cheol and Lee (in press) examine the risk-return characteristics of developed markets and find significant convergence of their risk-return tradeoff during the period 1974-2007. Mazzotta (2008) points out the importance of covariance asymmetry for the estimation of the risk premium for international stock markets. 8 The same panel data regression approach is used by to examine the significance of a time-series and cross-sectional relation between expected returns and firm-level, industry-level, and aggregate earnings.…”

Dynamic correlations and volatility effects in the Balkan equity markets

“…Engle and Ng, 1993;Koutmos and Booth, 1995;Bekaert and Wu, 2000), as asymmetric volatility spillover effects have been indicated to be present in major financial markets (e.g. Koutmos and Booth, 1995;Kroner and Ng, 1998;Yang and Doong, 2004;Mazzotta, 2008). Similarly, the dynamic correlations between international capital markets also present asymmetric characteristics.…”

Persistence in Nonlinear Time Series: A Nonparametric Approach

“…Hong, Tu and Zhou, 2007, and references therein). See also Mazzotta (2008) for a up-to-date review of the extensive empirical literature. Unlike this existing literature, we investigate asymmetries in nonlinear persistence of conditional variances in bull and bear markets.…”