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Have financial markets become more informative?
Bai, Jennie; Philippon, Thomas; Savov, Alexi - In: Journal of financial economics 122 (2016) 3, pp. 625-654
Persistent link: https://www.econbiz.de/10011591158
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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
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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
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ARCH effects and cointegration : is the foreign exchange market efficient?
Alexakis, Panayotis - In: Journal of banking & finance 20 (1996) 4, pp. 687-697
Persistent link: https://www.econbiz.de/10001197705
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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...
Persistent link: https://www.econbiz.de/10009535779
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Daily pricing of emerging market sovereign CDS before and during the global financial crisis
Fender, Ingo; Hayo, Bernd; Neuenkirchen, Matthias - In: Journal of banking & finance 36 (2012) 10, pp. 2786-2794
Persistent link: https://www.econbiz.de/10009673246
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The economic record of the government and sovereign bond and stock returns around national elections
Eichler, Stefan; Plaga, Timo - In: Journal of banking & finance 118 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012521037
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Technical analysis, trading volume and market efficiency : evidence from an emerging market
Antoniou, Antonios (contributor) - In: Applied financial economics 7 (1997) 4, pp. 361-365
Persistent link: https://www.econbiz.de/10001226982
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Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis
Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Hum, … - In: Applied financial economics 21 (2011) 13/15, pp. 997-1003
Persistent link: https://www.econbiz.de/10009317447
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The state dependent impact of bank exposure on sovereign risk
Podstawski, Maximilian; Velinov, Anton - In: Journal of banking & finance 88 (2018), pp. 63-75
Persistent link: https://www.econbiz.de/10011962583