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Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets
Kilic, Erdem - In: Economic modelling 62 (2017), pp. 51-67
Persistent link: https://www.econbiz.de/10011813162
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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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Testing the white noise hypothesis of stock returns
Hill, Jonathan B.; Motegi, Kaiji - In: Economic modelling 76 (2019), pp. 231-242
Persistent link: https://www.econbiz.de/10012198322
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Re-examining the Turkish stock market efficiency : evidence from nonlinear unit root tests
Gozbasi, Onur; Kucukkaplan, Ilhan; Nazlıoğlu, Şaban - In: Economic modelling 38 (2014), pp. 381-384
Persistent link: https://www.econbiz.de/10010419047
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How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies
Wang, Xinyu; Qi, Zikang; Huang, Jianglu - In: Economic modelling 120 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014383984
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Financial crises, exchange rate linkages and uncovered interest parity : evidence from G7 markets
Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - In: Economic modelling 66 (2017), pp. 112-120
Persistent link: https://www.econbiz.de/10011813672
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Is the survival of the euro area at risk? : an economic analysis of exit and contagion possibilities
Canofari, Paolo; Messori, Marcello - In: Economic modelling 69 (2018), pp. 58-66
Persistent link: https://www.econbiz.de/10012016083
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Moment and memory properties of linear conditional heteroscedasticity models, and a new model
Davidson, James E. H. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 1, pp. 16-29
Persistent link: https://www.econbiz.de/10001891395
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Two-sample testing for tail copulas with an application to equity indices
Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 147-159
Persistent link: https://www.econbiz.de/10014449844
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Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices
Wang, Yu-shan; Chueh, Yen Ling - In: Economic modelling 30 (2013), pp. 792-798
Persistent link: https://www.econbiz.de/10009708796