Narrow search
Showing 1 - 10 of 4,138
Cover Image
Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
Cover Image
The weak-form efficiency of Asian stock markets : new evidence from generalized spectral martingale test
Lim, Kian-Ping; Luo, Weiwei - In: Applied economics letters 19 (2012) 10/12, pp. 905-908
Persistent link: https://www.econbiz.de/10009656702
Cover Image
The determinants of default risk in Brazil
Ferreira, Alex Luiz - In: Applied economics letters 17 (2010) 16/18, pp. 1703-1708
Persistent link: https://www.econbiz.de/10009232157
Cover Image
Growth dynamics, financial crises and exchange rate regimes
Morales Zumaquero, Amalia; Sosvilla-Rivero, Simón - In: Applied economics letters 22 (2015) 10/12, pp. 767-771
Persistent link: https://www.econbiz.de/10011285368
Cover Image
The impact of subprime mortgage on correlation between stock and FX markets
Chang, Hsiu-yun; Kuo, Yen-ching - In: Applied economics letters 17 (2010) 13/15, pp. 1309-1312
Persistent link: https://www.econbiz.de/10008938303
Cover Image
Introducing financial stability considerations into Taylor rules in emerging market economies
Gadanecz, Blaise; Miyajima, Ken; Urban, Jörg - In: Applied economics letters 22 (2015) 16/18, pp. 1320-1324
Persistent link: https://www.econbiz.de/10011380161
Cover Image
On the evolution of cryptocurrency market efficiency
Noda, Akihiko - In: Applied economics letters 28 (2021) 6, pp. 433-439
Persistent link: https://www.econbiz.de/10012485046
Cover Image
On the predictability of daytime and night-time yen/dollar exchange rates
Fukuda, Shin'ichi - In: Applied economics letters 23 (2016) 7/9, pp. 618-622
Persistent link: https://www.econbiz.de/10011628029
Cover Image
Return seasonality in the foreign exchange market
Tse, Yiuman - In: Applied economics letters 25 (2018) 1, pp. 5-8
Persistent link: https://www.econbiz.de/10011853573
Cover Image
Forecasting real exchange rate trends using age structure data : the case of Sweden
Andersson, Andreas; Österholm, Pär - In: Applied economics letters 12 (2005) 5, pp. 267-272
Persistent link: https://www.econbiz.de/10002753309