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The informational efficiency : the emerging markets versus the developed markets

Risso, Wiston Adrián - In: Applied economics letters 16 (2009) 4/6, pp. 485-487

Persistent link: https://www.econbiz.de/10003842498

Reserves and currency crises : the role of the exchange rate regime

Sever, Can - In: Applied economics letters 28 (2021) 19, pp. 1677-1681

Persistent link: https://www.econbiz.de/10012652572

The impact of banking and sovereign debt crisis risk in the eurozone on the euro/US dollar exchange rate

Eichler, Stefan - In: Applied financial economics 22 (2012) 13/15, pp. 1215-1232

Persistent link: https://www.econbiz.de/10009625379

Backtesting the tail risk of VaR in holding US dollar

Wong, Woon K. - In: Applied financial economics 19 (2009) 4/6, pp. 327-337

Persistent link: https://www.econbiz.de/10003828498

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...