Studies of time-series versus cross-sectional correlations in Eastern and Western European stock markets
Reducing the risk exposure in investment portfolios is a constant topic in financial literature. This thesis aims to discuss and compare the risk level in portfolios of only Eastern or only Western European market indices by studying the correlation within each one of the portfolios. The correlation is estimated with two different methods: the traditional time-series and Solnik and Roulet’s (2000)