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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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Transmission process and determinants of sovereign credit contagions : global evidence
Chen, Chih-Chun; Chen, Chun-Da; Lien, Da-hsiang Donald - In: International review of economics & finance : IREF 89 (2024) 2, pp. 552-567
Persistent link: https://www.econbiz.de/10014446789
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Sudden stops of capital flows to emerging markets : a new prediction approach
Suh, Sangwon - In: International review of economics & finance : IREF 48 (2017), pp. 289-308
Persistent link: https://www.econbiz.de/10011747289
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External vulnerability, balance sheet effects, and the institutional framework : lessons from the Asian crisis
Mulder, Christian B.; Perrelli, Roberto; Rocha, Manuel … - In: International review of economics & finance : IREF 21 (2012) 1, pp. 16-28
Persistent link: https://www.econbiz.de/10009428094
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The relationship between currency crises and capital flow reversals : an empirical examination
Almahmood, Hassan; Bird, Graham R.; Willett, Thomas D. - In: International review of economics & finance : IREF 69 (2020), pp. 419-434
Persistent link: https://www.econbiz.de/10012486995
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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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Accumulation of reserves and keeping up with the Joneses : the case of LATAM economies
Cheung, Yin-Wong; Sengupta, Rajeswari - In: International review of economics & finance : IREF 20 (2011) 1, pp. 19-31
Persistent link: https://www.econbiz.de/10009304237
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Dynamic correlation analysis of financial contagion : evidence from the Central and Eastern European markets
Syllignakis, Manolis N.; Kouretas, Georgios P. - In: International review of economics & finance : IREF 20 (2011) 4, pp. 717-732
Persistent link: https://www.econbiz.de/10009303872
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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