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Citations for "International asset pricing with alternative distributional specifications"

by Campbell R. Harvey & Guofu Zhou

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  1. Chen, Rongda & Yu, Lean, 2013. "A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions," Economic Modelling, Elsevier, vol. 35(C), pages 796-804.
  2. Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009. "Global private information in international equity markets," Journal of Financial Economics, Elsevier, vol. 94(1), pages 18-46, October.
  3. 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.
  4. Mika Vaihekoski, 2000. "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Economic Association, vol. 13(2), pages 71-88, Autumn.
  5. Gerard, Bruno & Thanyalakpark, Kessara & Batten, Jonathan A., 2003. "Are the East Asian markets integrated? Evidence from the ICAPM," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 585-607.
  6. Rui Albuquerque & Gregory H. Bauer & Martin Schneider, 2004. "International Equity Flows and Returns: A Quantitative Equilibrium Approach," Working Papers 04-42, Bank of Canada.
  7. Gangemi, Michael & Brooks, Robert & Faff, Robert, 1999. "Mean reversion and the forecasting of country betas: a note," Global Finance Journal, Elsevier, vol. 10(2), pages 231-245.
  8. Majumder, Debasish, 2014. "Asset pricing for inefficient markets: Evidence from China and India," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 282-291.
  9. Raymond Kan & Guofu Zhou, 1999. "A Critique of the Stochastic Discount Factor Methodology," Journal of Finance, American Finance Association, vol. 54(4), pages 1221-1248, 08.
  10. Hueng, C. James, 2014. "Are global systematic risk and country-specific idiosyncratic risk priced in the integrated world markets?," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 28-38.
  11. Shanken, Jay & Zhou, Guofu, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April.
  12. Benson, Karen L. & Faff, Robert W., 2006. "Conditional performance evaluation and the relevance of money flows for Australian international equity funds," Pacific-Basin Finance Journal, Elsevier, vol. 14(3), pages 231-249, June.
  13. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
  14. Saleem, Kashif & Vaihekoski, Mika, 2007. "Time-varying global and local sources of risk in Russian stock market," MPRA Paper 5787, University Library of Munich, Germany.
  15. Bian, G. & McAleer, M.J. & Wong, W.K., 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Econometric Institute Research Papers EI 2010-62, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  16. Joaquim Pinto de Andrade & Vladimir Kuhl Teles, 2004. "An Empirical Model of the Brazilian Country Risk - An Extension of the Beta Country Risk Model," Econometric Society 2004 Latin American Meetings 284, Econometric Society.
  17. Yuenan Wang & Amalia Di Iorio, 2007. "The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market," Review of Quantitative Finance and Accounting, Springer, vol. 29(2), pages 181-203, August.
  18. Antell, Jan & Vaihekoski, Mika, 2007. "International asset pricing models and currency risk: Evidence from Finland 1970-2004," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2571-2590, September.
  19. Rahul Verma & Priti Verma, 2005. "Do Emerging Equity Markets Respond Symmetrically to US Market Upturns and Downturns? Evidence from Latin America," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 4(3), pages 193-208, December.
  20. repec:ebl:ecbull:v:7:y:2008:i:14:p:1-12 is not listed on IDEAS
  21. James Sfiridis & Alan Gelfand, 2002. "A survey of sampling-based Bayesian analysis of financial data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 273-291.
  22. William Shambora & Shamila Jayasuriya, 2008. "The world is shrinking: Evidence for stock market convergence," Economics Bulletin, AccessEcon, vol. 7(14), pages 1-12.
  23. Fabian Lipinsky & Li Lian Ong, 2014. "Asia’s Stock Markets: Are There Crouching Tigers and Hidden Dragons?," IMF Working Papers 14/37, International Monetary Fund.
  24. Verma, Rahul & Soydemir, Gokce, 2006. "Modeling country risk in Latin America: A country beta approach," Global Finance Journal, Elsevier, vol. 17(2), pages 192-213, December.
  25. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, vol. 4(2), pages 197-223, June.
  26. González, M. & Minguez, R., 2005. "The Method Of Simulated Maximum Likelihood For The Estimaton Of Dynamic Ordered Probit: An Application To Country-Risk For Non-Developed Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 99-133.
  27. Fletcher, Jonathan, 2000. "On the conditional relationship between beta and return in international stock returns," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 235-245.
  28. Gangemi, Michael A. M. & Brooks, Robert D. & Faff, Robert W., 2000. "Modeling Australia's country risk: a country beta approach," Journal of Economics and Business, Elsevier, vol. 52(3), pages 259-276.
  29. Velu, Raja & Zhou, Guofu, 1999. "Testing multi-beta asset pricing models," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 219-241, September.
  30. Francesco Giurda & Elias Tzavalis, 2004. "Is the Currency Risk Priced in Equity Markets?," Working Papers 511, Queen Mary University of London, School of Economics and Finance.
  31. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, EconWPA.
  32. Ülkü, Numan & Baker, Saleh, 2014. "Country world betas: The link between the stock market beta and macroeconomic beta," Finance Research Letters, Elsevier, vol. 11(1), pages 36-46.
  33. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
  34. Guermat, Cherif & Freeman, Mark C., 2010. "A net beta test of asset pricing models," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 1-9, January.
  35. Catão, Luis A. V. & Timmermann, Allan G, 2004. "Country and Industry Dynamics in Stock Returns," CEPR Discussion Papers 4368, C.E.P.R. Discussion Papers.
  36. Robert Brooks & Robert Faff & David Sokulsky, 2005. "The stock market impact of German reunification: international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 31-42.
  37. Boyd, John H. & Jalal, Abu M., 2012. "A new measure of financial development: Theory leads measurement," Journal of Development Economics, Elsevier, vol. 99(2), pages 341-357.
  38. repec:dgr:uvatin:2013036 is not listed on IDEAS
  39. Ignacio Mauleon & Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 225-239.
  40. Chopra, Parvesh K. & Kanji, Gopal K., 2010. "On Measuring Country Risk: A new System Modelling Approach - La misura del rischio paese: un nuovo approccio system modelling," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 63(4), pages 479-515.
  41. Chou, Pin-Huang, 1997. "A Gibbs sampling approach to the estimation of linear regression models under daily price limits," Pacific-Basin Finance Journal, Elsevier, vol. 5(1), pages 39-62, February.
  42. Brooks, Robert & Faff, Robert W. & Hillier, David & Hillier, Joseph, 2004. "The national market impact of sovereign rating changes," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 233-250, January.
  43. Wing-Keung Wong & Guorui Bian, 2005. "Robust Estimation of Multiple Regression Model with Non-normal Error: Symmetric Distribution," Monash Economics Working Papers 09/05, Monash University, Department of Economics.
  44. Wing-Keung Wong & Guorui Bian, 2005. "Robust Estimation of Multiple Regression Model with asymmetric innovations and Its Applicability on Asset Pricing Model," Departmental Working Papers wp0508, National University of Singapore, Department of Economics.
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