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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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Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis : evidence from central Europe
Ters, Kristyna; Urban, Jörg - In: International review of economics & finance : IREF 54 (2018), pp. 123-142
Persistent link: https://www.econbiz.de/10012033352
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Information dissemination across global markets during the spread of COVID-19 pandemic
Tripathi, Abhinava; Pandey, Ashish - In: International review of economics & finance : IREF 74 (2021), pp. 103-115
Persistent link: https://www.econbiz.de/10012792941
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The impact of trading restrictions on the informational relationships between cash, futures, and options markets
Han, Li-ming - In: International review of economics & finance : IREF 3 (1994) 4, pp. 429-442
Persistent link: https://www.econbiz.de/10001177067
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The exchange rate regime in Asia : from crisis to crisis
Patnaik, Ila; Shah, Ajay; Sethy, Anmol; … - In: International review of economics & finance : IREF 20 (2011) 1, pp. 32-43
Persistent link: https://www.econbiz.de/10009304235
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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