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Safe haven or contagion? : the disparate effects of Euro-zone crises on non-Euro-zone neighbours

Bird, Graham R.; Du, Wenti; Pentecost, Eric J.; … - In: Applied economics 49 (2017) 59, pp. 5895-5904

Persistent link: https://www.econbiz.de/10011845841

Currency crises and the stock market : empirical evidence for another type of twin crisis

Eichler, Stefan; Maltritz, Dominik - In: Applied economics 43 (2011) 28/30, pp. 4561-4587

Persistent link: https://www.econbiz.de/10009388082

Global monetary integration : a conference sponsored by the Federal Reserve Bank of Cleveland, June 1 - 3, 2000

Humpage, Owen F. (contributor) - 2001

Persistent link: https://www.econbiz.de/10001580595

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...