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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

Testing conditional asset pricing models : an emerging market perspective

Iqbal, Javed (contributor); Brooks, Robert (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003778329

Testing conditional asset pricing models : an emerging market perspective

Iqbal, Javed; Brooks, Robert; Galagedera, Don U. A. - In: Journal of international money and finance 29 (2010) 5, pp. 897-918

Persistent link: https://www.econbiz.de/10003989924

Is co-skewness a better measure of risk in the downside than downside beta? : evidence in emerging market data

Galagedera, Don U. A.; Brooks, Robert - In: Journal of multinational financial management 17 (2007) 3, pp. 214-230

Persistent link: https://www.econbiz.de/10003499625

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

Persistent link: https://www.econbiz.de/10003963264

Dynamics of idiosyncratic volatility and market volatility : an emerging market perspective

Tan, Pei Pei; Galagedera, Don U. A. - In: Global economic review 44 (2015) 1, pp. 74-100

Persistent link: https://www.econbiz.de/10010509116

Relative performance of equity markets : an assessment in the conventional and downside frameworks

Bainbridge, Carla; Galagedera, Don U. A. - In: International journal of business 14 (2009) 1, pp. 21-45

Persistent link: https://www.econbiz.de/10003828669

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

A comparison of developed and emerging equity market return volatility at different time scales

Maharaj, Elizabeth Ann; Galagedera, Don U. A.; Dark, … - In: Managerial finance 37 (2011) 10, pp. 940-952

Persistent link: https://www.econbiz.de/10009355226

Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries

Silvapulle, Paramsothy; Fenech, Jean Pierre; Thomasa, Alice - In: Economic modelling 58 (2016), pp. 83-92

Persistent link: https://www.econbiz.de/10011647047