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Multivariate tests of asset pricing : simulation evidence from an emerging market

Iqbal, Javed; Brooks, Robert; Galagedera, Don U. A. - In: Applied financial economics 20 (2010) 4/6, pp. 381-395

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/10003963264

Relationship between downside risk and return : new evidence through a multiscaling approach

Galagedera, Don U. A.; Maharaj, Elizabeth Ann; Brooks, … - In: Applied financial economics 18 (2008) 18/21, pp. 1623-1633

Persistent link: https://www.econbiz.de/10003800192

Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion

Sriananthakumar, Sivagowry; Silvapulle, Paramsothy - In: Applied financial economics 18 (2008) 4/6, pp. 267-273

Persistent link: https://www.econbiz.de/10003739092

The impact of inflation rate announcements on interest rate volatility : Australian evidence

Silvapulle, Paramsothy - In: Applied financial economics 7 (1997) 5, pp. 559-566

Persistent link: https://www.econbiz.de/10001229831

Relationship between downside risk and return: new evidence through a multiscaling approach

Galagedera, Don; Maharaj, Elizabeth; Brooks, Robert - In: Applied financial economics 18 (2008) 20, pp. 1623-1634

Persistent link: https://www.econbiz.de/10008147096

Relationship between downside risk and return: new evidence through a multiscaling approach

Galagedera, Don; Maharaj, Elizabeth; Brooks, Robert - In: Applied financial economics 18 (2008) 19-21, pp. 1623-1634

Persistent link: https://www.econbiz.de/10008167933

Multivariate tests of asset pricing: simulation evidence from an emerging market

Iqbal, Javed; Brooks, Robert; Galagedera, Don - In: Applied financial economics 20 (2010) 5, pp. 381-396

Persistent link: https://www.econbiz.de/10008380747

Business cycle asymmetry and the stock market

Silvapulle, P.; Silvapulle, M.J. - In: Applied financial economics 9 (1999) 1, pp. 109

Persistent link: https://www.econbiz.de/10007688760

The impact of inflation rate announcements on interest rate volatility: Australian evidence

Silvapulle, P.; Pereira, R.; Lee, J.H.H. - In: Applied financial economics 7 (1997) 5, pp. 559-566

Persistent link: https://www.econbiz.de/10007699119

Business cycle asymmetry and the stock market

Silvapulle, Paramsothy; Silvapulle, Mervyn Joseph - In: Applied financial economics 9 (1999) 1, pp. 109-115

Persistent link: https://www.econbiz.de/10001363846