Diversification opportunities in Euro-land appear to have improved significantly since the advent of the euro, thus invalidating the prospects identified in the last years of the convergence-to-EMU period. Low frequency movements in the time series of return dispersions are identified suggestive of cycles and long swings in return correlations. The most recent post-euro period is clearly associated with an important upswing with return dispersions exceeding for the first time their peaks of the early 1990s.
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Adjaouté et al. (2004) studied this question.
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