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The international CAPM and a wavelet-based decomposition of value at risk
Fernández, Viviana - 2006
Persistent link: https://www.econbiz.de/10003326236
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The international CAPM and a wavelet-based decomposition of value at risk
Fernández, Viviana (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10003284309
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Institutional Determinants of international equity portfolios - a country-level analysis
Berkel, Barbara - 2004
Persistent link: https://www.econbiz.de/10002474009
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The international CAPM and a wavelet-based decomposition of value at risk
Fernández, Viviana (contributor) - 2005
Persistent link: https://www.econbiz.de/10003035297
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An international asset pricing model with time-varying hedging risk
Chang, Jow-ran; Hung, Mao-Wei - In: Review of quantitative finance and accounting 15 (2000) 3, pp. 235-257
Persistent link: https://www.econbiz.de/10001537840
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The International CAPM and a Wavelet-Based Decomposition of Value at Risk
Fernandez, Viviana - 2010
In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both …
Persistent link: https://www.econbiz.de/10012761574
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The International CAPM Redux
Brusa, Francesca - 2017
We provide evidence that international equity investors are compensated for bearing currency risk. Three factors --- a … the risks of international mutual funds and hedge funds. A simple complete-markets model replicates our empirical findings …
Persistent link: https://www.econbiz.de/10012972515
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The International CAPM and a Wavelet-Based Decomposition of Value at Risk
Fernandez, Viviana - 2006
In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both …
Persistent link: https://www.econbiz.de/10012466435
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Cross-Border Valuation Using the International CAPM and the Constant Perpetual Growth Model
O'Brien, Thomas J. - 2020
parity. The proposed method is consistent with the International CAPM (ICAPM), but the conventional method is not. Using …
Persistent link: https://www.econbiz.de/10012848401
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Cross-border valuation using the International CAPM and the constant perpetual growth model
O'Brien, Thomas J. - In: Journal of economics & business 119 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013428933