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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...
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)identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan (the major nternational lender in …
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estimation ; economic release ; wavelet ; high frequency …
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