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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
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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
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Carry Funding and Safe Haven Currencies : A Threshold Regression Approach
Hossfeld, Oliver - 2015
the estimation results, two currencies, the Swiss franc and (to a lesser extent) the US dollar qualify as safe haven … currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … analysis of bilateral euro-based exchange rates, given the euro's prominent role during the euro area sovereign debt crisis …
Persistent link: https://www.econbiz.de/10013030487
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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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On emerging stock market contagion : the Baltic region
Alexakis, Panayotis; Kenourgios, Dimitris; Dimitriou, … - In: Research in international business and finance 36 (2016), pp. 312-321
Persistent link: https://www.econbiz.de/10011594444
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The impact of political risk on the currencies of emerging markets
Santos, Marcelo Bittencourt Coelho dos; Klotzle, … - In: Research in international business and finance 56 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013267852
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Mutual fund performance in Tunisia : a multivariate GARCH approach
Hammami, Yacine; Jilani, Faouzi; Oueslati, Abdelmonem - In: Research in international business and finance 29 (2013), pp. 35-51
Persistent link: https://www.econbiz.de/10009759915
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The prospects of BRIC countries : testing weak-form market efficiency
Mobarek, Asma; Fiorante, Angelo - In: Research in international business and finance 30 (2014), pp. 217-232
Persistent link: https://www.econbiz.de/10010391772
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Is there momentum in equity anomalies? : evidence from the Polish emerging market
Zaremba, Adam; Szyszka, Adam - In: Research in international business and finance 38 (2016), pp. 546-564
Persistent link: https://www.econbiz.de/10011640746
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Time-Varying Exchange Rate Basket in China from 2005 to 2009
Fidrmuc, Jarko - 2013
We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in...
Persistent link: https://www.econbiz.de/10013094429