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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

Currency crises in developed and emerging market economies : a comparative empirical treatment

Fontaine, Thomson - 2005

Persistent link: https://www.econbiz.de/10002652894

Emerging markets crisis : an asset markets perspective

Caballero, Ricardo J.; Krishnamurthy, Arvind - 1999

Persistent link: https://www.econbiz.de/10001427889

Currency crises : in search of common elements

Aziz, Jahangir; Caramazza, Francesco; Salgado, Ranil - 2000

Persistent link: https://www.econbiz.de/10001503368

The Dynamics of Emerging Stock Markets : Empirical Assessments and Implications

Arouri, Mohamed - 2010

Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets...

Persistent link: https://www.econbiz.de/10013521320

Contagion : monsoonal effects, spillovers, and jumps between multiple equilibria

Masson, Paul R. - 1998

Persistent link: https://www.econbiz.de/10000997166

Eurocritical : A Crisis of the Euro Currency

MacDonald, Roderick - 2018

This book critically analyses the crisis of the euro currency from 2008 to the present. It argues that an understanding … euro. It goes on to describe and explain the crises in four countries - Greece, Ireland, Spain and Italy - showing how they … differ and together challenge the euro currency by requiring a varied policy response from Europe. Eurocritical is a guide …

Persistent link: https://www.econbiz.de/10012397163

The Euro Crisis

Arestis, Philip (ed.); Sawyer, Malcolm (ed.) - 2012

A detailed and informed analysis of the current crisis facing the eurozone, examining the root causes and exploring the possible outcomes and uncertain future of the European Union and its currency. Chapters include case studies of Portugal, Ireland, Spain and Greece, as well as broader...

Persistent link: https://www.econbiz.de/10012053992

Euro Crash : The Exit Route from Monetary Failure in Europe

Brown, Brendan - 2012 - Second Edition

Euro Crash diagnoses the three fatal design flaws in EMU as constructed by the Maastricht Treaty and analyses future …

Persistent link: https://www.econbiz.de/10012106248

Domestic bank regulation and financial crises : theory and empirical evidence from East Asia

Dekle, Robert; Kletzer, Kenneth - 2001

Persistent link: https://www.econbiz.de/10001596905

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