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An analytical derivation of the relation between idiosyncratic volatility and expected stock return
Galagedera, Don U. A. - 2009
Persistent link: https://www.econbiz.de/10008661973
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Multivariate tests of asset pricing : simulation evidence from an emerging market
Iqbal, Javed (contributor); Brooks, Robert (contributor);  … - 2008
The finite sample performance of the Wald, Generalized Method of Moment (GMM) and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This article extends this analysis in two important ways. Firstly, considering...
Persistent link: https://www.econbiz.de/10003778328
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Testing conditional asset pricing models : an emerging market perspective
Iqbal, Javed (contributor); Brooks, Robert (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003778329
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Modelling the risk and return relation conditional on market volatility and market conditions
Galagedera, Don U. A.; Faff, Robert W. - 2004
Persistent link: https://www.econbiz.de/10002121816
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Wavelet timescales and contitional relationship between higher order systematic co-moments and portfolio returns : evidence in Australian data
Galagedera, Don U. A.; Maharaj, Elizabeth Ann - 2004
Persistent link: https://www.econbiz.de/10002474629
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Is systematic downside beta risk really priced? : Evidence in emerging market data
Galagedera, Don U. A.; Brooks, Robert - 2005
Persistent link: https://www.econbiz.de/10003048166
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Association between Markov regime-switching market volatility and beta risk : evidence from Dow Jones industrial securities
Galagedera, Don U. A.; Shami, Roland G. - 2003
Persistent link: https://www.econbiz.de/10001892068
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Planning for potential increases in disbursements and risk of managed funds conditional on desired short-term performance levels
Galagedera, Don U. A. - In: Applied economics 56 (2024) 28, pp. 3385-3400
Persistent link: https://www.econbiz.de/10014528524
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VARMA models for Malaysian monetary policy analysis
Raghavan, Mala; Athanasopoulos, George; Silvapulle, … - 2009
Persistent link: https://www.econbiz.de/10003868966
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Estimating the error distribution in multivariate heteroscedastic time series models
Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - 2007
Persistent link: https://www.econbiz.de/10003486438