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Performance attribution using an APT with prespecified macrofactors and time-varying risk premia and betas
Kryzanowski, Lawrence, (1997)
Market regimes, sectorial investments, and time-varying risk premiums
Liu, Peixin, (2011)
Illiquidity and the closed-end fund discounts
Jain, Ravi, (2004)
Spectral analysis in three dimensions : the examination of economic interdependence between New York, London, Tokyo and the Pacific Basin equity market indices
Lin, Shih-mo, (1996)
A model and empirical test of the strong form efficiency of US capital markets : more evidence of insider trading profitability
Kara, Ahmet, (1998)
Baltic freight futures : random walk or seasonally predictable?
Craft Denning, Karen, (1994)