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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

The impact of banking and sovereign debt crisis risk in the eurozone on the euro/US dollar exchange rate

Eichler, Stefan - In: Applied financial economics 22 (2012) 13/15, pp. 1215-1232

Persistent link: https://www.econbiz.de/10009625379

Backtesting the tail risk of VaR in holding US dollar

Wong, Woon K. - In: Applied financial economics 19 (2009) 4/6, pp. 327-337

Persistent link: https://www.econbiz.de/10003828498

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...