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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. 381-396

Persistent link: https://www.econbiz.de/10008380747

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

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

Multivariate tests of asset pricing : simulation evidence from an emerging market

Iqbal, Javed (contributor); Brooks, Robert (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003778328

Testing conditional asset pricing models : an emerging market perspective

Iqbal, Javed (contributor); Brooks, Robert (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003778329

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. 1623-1633

In the multiscaling approach, a time series is decomposed into different time horizons referred to as timescales. In this article, we investigate the risk-return relationship in a downside framework using timescales. Two measures of downside risk; downside beta and downside co-skewness are...

Persistent link: https://www.econbiz.de/10005637943