Narrow search
Showing 1 - 10 of 788
Cover Image
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
Cover Image
Forecasting recessions using financial variables : the French case
Bismans, Francis; Majetti, Reynald - In: Empirical economics : a journal of the Institute for … 44 (2013) 2, pp. 419-433
Persistent link: https://www.econbiz.de/10009724187
Cover Image
The dollar-euro exchange rate and monetary fundamentals
Beckmann, Joscha; Glycopantis, Dionysius; Pilbeam, Keith - In: Empirical economics : a journal of the Institute for … 54 (2018) 4, pp. 1389-1410
Persistent link: https://www.econbiz.de/10011949558
Cover Image
Are all sovereigns equal? : a test of the common determination of sovereign spreads in the euro area
Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 939-949
Persistent link: https://www.econbiz.de/10011303574
Cover Image
The role of ECB monetary policy and financial stress on Eurozone sovereign yields
Blot, Christophe; Creel, Jérôme; Hubert, Paul; … - In: Empirical economics : a journal of the Institute for … 59 (2020) 3, pp. 1189-1211
Persistent link: https://www.econbiz.de/10012284979
Cover Image
Dynamics of the European sovereign bonds and the identification of crisis periods
Chen, Zhenxi; Reitz, Stefan - In: Empirical economics : a journal of the Institute for … 58 (2020) 6, pp. 2761-2781
Persistent link: https://www.econbiz.de/10012257269
Cover Image
Time-varying contemporaneous spillovers during the European Debt Crisis
Finta, Marinela Adriana; Frijns, Bart; Tourani Rad, Alireza - In: Empirical economics : a journal of the Institute for … 57 (2019) 2, pp. 423-448
Persistent link: https://www.econbiz.de/10012056692
Cover Image
Financial crises and the extreme bounds of predictors
Inekwe, John Nkwoma - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 2047-2067
Persistent link: https://www.econbiz.de/10011950355
Cover Image
A dynamic econometrics system for the real yen-dollar rate
Kurita, Takamitsu - In: Empirical economics : a journal of the Institute for … 33 (2007) 1, pp. 115-149
Persistent link: https://www.econbiz.de/10003491979
Cover Image
Improving GARCH volatility forecasts with regime-switching GARCH
Klaassen, Franc - In: Empirical economics : a journal of the Institute for … 27 (2002) 2, pp. 363-394
Persistent link: https://www.econbiz.de/10001655657