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Country risk and the estimation of asset return distributions

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  • Robert Brooks
  • Xibin Zhang
  • Emawtee Bissoondoyal Bheenick

Abstract

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Suggested Citation

  • Robert Brooks & Xibin Zhang & Emawtee Bissoondoyal Bheenick, 2007. "Country risk and the estimation of asset return distributions," Quantitative Finance, Taylor & Francis Journals, vol. 7(3), pages 261-265.
    • Handle: RePEc:taf:quantf:v:7:y:2007:i:3:p:261-265
    DOI: 10.1080/14697680601110503
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    References listed on IDEAS

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    1. Harvey, Campbell R. & Zhou, Guofu, 1993. "International asset pricing with alternative distributional specifications," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 107-131, June.
    2. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
    3. Brailsford, Timothy J. & Josev, Thomas, 1997. "The impact of the return interval on the estimation of systematic risk," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 357-376, July.
    4. K. Giannopoulos, 1995. "Estimating the time Varying Components of international stock markets' risk," The European Journal of Finance, Taylor & Francis Journals, vol. 1(2), pages 129-164.
    5. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 249-274.
    6. Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 101-116, March.
    7. Handa, Puneet & Kothari, S. P. & Wasley, Charles, 1989. "The relation between the return interval and betas : Implications for the size effect," Journal of Financial Economics, Elsevier, vol. 23(1), pages 79-100, June.
    8. Bo Martin Bibby & Michael SÛrensen, 1996. "A hyperbolic diffusion model for stock prices (*)," Finance and Stochastics, Springer, vol. 1(1), pages 25-41.
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    Cited by:

    1. Chien‐Chiang Lee & Chi‐Chuan Lee & Donald Lien, 2019. "Do country risk and financial uncertainty matter for energy commodity futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 366-383, March.

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