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Volatility spillovers among the U.S. and Asian stock markets : a comparison between the periods of Asian currency crisis and subprime credit crisis
Lien, Da-hsiang Donald; Lee, Geul; Li, Yang; Zhang, Yuyin - In: The North American journal of economics and finance : a … 46 (2018), pp. 187-201
Persistent link: https://www.econbiz.de/10012036617
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Time-varying effects of macroeconomic news on euro-dollar returns
Ben Omrane, Walid; Savaser, Tanseli; Welch, Robert L.; … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-20
Persistent link: https://www.econbiz.de/10012201385
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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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Adaptive market hypothesis : the story of the stock markets and COVID-19 pandemic
Okorie, David Iheke; Lin, Boqiang - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012822166
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Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads
Tsuruta, Masaru - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012659594
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On the informational efficiency of S&P500 implied volatility
Becker, Ralf; Clements, Adam; White, Scott I. - In: The North American journal of economics and finance : a … 17 (2006) 2, pp. 139-153
Persistent link: https://www.econbiz.de/10003334337
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Are all sovereigns equal? : a test of the common determination of sovereign spreads in the euro area
Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 939-949
Persistent link: https://www.econbiz.de/10011303574
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The role of ECB monetary policy and financial stress on Eurozone sovereign yields
Blot, Christophe; Creel, Jérôme; Hubert, Paul; … - In: Empirical economics : a journal of the Institute for … 59 (2020) 3, pp. 1189-1211
Persistent link: https://www.econbiz.de/10012284979
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Dynamics of the European sovereign bonds and the identification of crisis periods
Chen, Zhenxi; Reitz, Stefan - In: Empirical economics : a journal of the Institute for … 58 (2020) 6, pp. 2761-2781
Persistent link: https://www.econbiz.de/10012257269
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Market perception of sovereign credit risk in the euro area during the financial crisis
Camba-Méndez, Gonzalo; Serwa, Dobromił - In: The North American journal of economics and finance : a … 37 (2016), pp. 168-189
Persistent link: https://www.econbiz.de/10011672946