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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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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
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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
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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. 381-395
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/10008582882
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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
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Conditional relation between systematic risk and returns in the conventional and downside frameworks : evidence from the Indonesian market
Nurjannah; Galagedera, Don U. A.; Brooks, Robert - In: Journal of emerging market finance 11 (2012) 3, pp. 271-300
Persistent link: https://www.econbiz.de/10010380791
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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
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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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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