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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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Financial fragility, sovereign default risk and the limits to commercial bank bail-outs
Kwaak, Christiaan van der; Wijnbergen, Sweder van - In: Journal of economic dynamics & control 43 (2014), pp. 218-240
Persistent link: https://www.econbiz.de/10010470116
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Backtesting macroprudential stress tests
Ramadiah, Amanah; Fricke, Daniel; Caccioli, Fabio - In: Journal of economic dynamics & control 137 (2022), pp. 1-33
Persistent link: https://www.econbiz.de/10013464518
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The Euro/Dollar exchange rate : chaotic or non-chaotic? : a continuous time model with heterogeneous beliefs
Federici, Daniela; Gandolfo, Giancarlo - In: Journal of economic dynamics & control 36 (2012) 4, pp. 670-681
Persistent link: https://www.econbiz.de/10009554322
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Reexamining time-varying bond risk premia in the post-financial crisis era
Zhang, Han; Fan, Xiaoyun; Guo, Bin; Zhang, Wei - In: Journal of economic dynamics & control 109 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012314108
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Within and between systemic country risk : theory and evidence from the sovereign crisis in Europe
Baglioni, Angelo; Cherubini, Umberto - In: Journal of economic dynamics & control 37 (2013) 8, pp. 1581-1597
Persistent link: https://www.econbiz.de/10009775092
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Sovereign illiquidity and recessions.
Gutkowski, Violeta A. - In: Journal of economic dynamics & control 122 (2021), pp. 1-26
Persistent link: https://www.econbiz.de/10012666050
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The impact of bailouts on political turnover and sovereign default risk
Prein, Timm M.; Scholl, Almuth - In: Journal of economic dynamics & control 124 (2021), pp. 1-29
Persistent link: https://www.econbiz.de/10012666410
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Welfare gains of bailouts in a sovereign default model
Pancrazi, Roberto; Seoane, Hernán D.; Vukotić, Marija - In: Journal of economic dynamics & control 113 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012502547
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Interbank markets and bank bailout policies amid a sovereign debt crisis
Lakdawala, Aeimit; Minetti, Raoul; Olivero, María Pía - In: Journal of economic dynamics & control 93 (2018), pp. 131-153
Persistent link: https://www.econbiz.de/10011974479