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Extreme spillovers of VIX fear index to international equity markets

Massaporn Cheuathonghua; Chaiyuth Padungsaksawasdi; … - In: Financial markets and portfolio management 33 (2019) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10012018353

Alpha : Empirical Evidence of Mutual Fund Performance Under Different Economic Cycles and Over Fund Objectives

Fernandez, Giovanni - 2011

We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, three-moment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund...

Persistent link: https://www.econbiz.de/10013120441

Alpha : Empirical Evidence of Mutual Fund Performance under Different Economic Cycles and over Fund Objectives

Fernandez, Giovanni - 2011

Persistent link: https://www.econbiz.de/10013121150

Uncovered interest rate parity, carry trade, and country equity return differentials

Kanchanapoom, Termkiat; Padungsaksawasdi, Chaiyuth; … - In: Global economy journal : GEJ 18 (2018) 3, pp. 1-11

Persistent link: https://www.econbiz.de/10011897273

An empirical investigation of mutual fund performance in different economic cycles under alternative fund objectives

Fernandez, Giovanni; Padungsaksawasdi, Chaiyuth; … - In: The international journal of finance 27 (2015) 1, pp. 15-81

Persistent link: https://www.econbiz.de/10011691230

Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Hum, … - In: Applied financial economics 21 (2011) 13/15, pp. 997-1003

Persistent link: https://www.econbiz.de/10009317447

Generalized impulse response analysis in a fractionally integrated vector autoregressive model

Do, Hung Xuan; Brooks, Robert Darren; Sirimon Treepongkaruna - In: Economics letters 118 (2013) 3, pp. 462-465

Persistent link: https://www.econbiz.de/10009729131

Information and volatility links in the foreign exchange market

Sirimon Treepongkaruna; Gray, Stephen - In: Accounting and finance : journal of the Accounting … 49 (2009) 2, pp. 385-405

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Realized spill-over effects between stock and foreign exchange market : evidence from regional analysis

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna - In: Global finance journal 28 (2015), pp. 24-37

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Banking crises : identifying dates and determinants

Jutasompakorn, Pearpilai; Brooks, Robert; Brown, Christine - In: Journal of international financial markets, … 32 (2014), pp. 150-166

Persistent link: https://www.econbiz.de/10011299799