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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
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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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Eurozone crisis and BRIICKS stock markets : contagion or market interdependence?
Ahmad, Wasim; Sehgal, Sanjay; Bhanumurthy, N. R. - In: Economic modelling 33 (2013), pp. 209-225
Persistent link: https://www.econbiz.de/10010191987
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Financial crises and sudden stops : was the European monetary union crisis different?
Albonico, Alice; Tirelli, Patrizio - In: Economic modelling 93 (2020), pp. 13-26
Persistent link: https://www.econbiz.de/10012429836
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Is the survival of the euro area at risk? : an economic analysis of exit and contagion possibilities
Canofari, Paolo; Messori, Marcello - In: Economic modelling 69 (2018), pp. 58-66
Persistent link: https://www.econbiz.de/10012016083
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Evaluating sovereign risk spillovers on domestic banks during the European debt crisis
Keddad, Benjamin; Schalck, Christophe - In: Economic modelling 88 (2020), pp. 356-375
Persistent link: https://www.econbiz.de/10012417241
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Sovereign debt and systemic risk in the eurozone : a macroeconomic perspective
Popescu, Alexandra; Turcu, Camelia - In: Economic modelling 67 (2017), pp. 275-284
Persistent link: https://www.econbiz.de/10011813829
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Islamic financial markets and global crises : contagion or decoupling?
Kenourgios, Dimitris; Naifar, Nader; Dimitriou, Dimitrios - In: Economic modelling 57 (2016), pp. 36-46
Persistent link: https://www.econbiz.de/10011646793
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Financial crises and dynamic linkages across international stock and currency markets
Dua, Pami; Tuteja, Divya - In: Economic modelling 59 (2016), pp. 249-261
Persistent link: https://www.econbiz.de/10011647825
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Sectoral dynamics of financial contagion in Europe : the cases of the recent crises episodes
Alexakis, Christos A.; Pappas, Vasileios - In: Economic modelling 73 (2018), pp. 222-239
Persistent link: https://www.econbiz.de/10012100519