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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

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

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

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

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

Is the Eurozone on the mend? : Latin American examples to analyze the euro question

Cavallo, Eduardo A.; Fernández Arias, Eduardo; Powell, … - 2014

economic booms in some peripheral Euro-zone countries financed by large capital inflows; the credit and asset price booms and … Latin American audiences. For those Euro-zone countries that built up large Euro-denominated external liabilities, Latin …

Persistent link: https://www.econbiz.de/10011286667