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MENA stock market volatility persistence : evidence before and after the financial crisis of 2008

Assaf, Ata - In: Research in international business and finance 36 (2016), pp. 222-240

Persistent link: https://www.econbiz.de/10011594406

Microstructures, financial reforms and informational efficiency in an emerging market

Arjoon, Vaalmikki - In: Research in international business and finance 36 (2016), pp. 112-126

Persistent link: https://www.econbiz.de/10011594282

Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets

Kilic, Erdem - In: Economic modelling 62 (2017), pp. 51-67

Persistent link: https://www.econbiz.de/10011813162

China vs. U.S. : IMS meets IPS

Maggiori, Matteo; Farhi, Emmanuel - 2019

Persistent link: https://www.econbiz.de/10012041967

Insolvency regimes and firms' default risk under economic uncertainty and shocks

Gopalakrishnan, Balagopal; Mohapatra, Sanket - In: Economic modelling 91 (2020), pp. 180-197

Persistent link: https://www.econbiz.de/10012429032

An event study of COVID-19 central bank quantitative easing in advanced and emerging economies

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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...