1. On the long-term common movement of resource and commodity prices.A methodological proposal. (2021). Esposti, Roberto.
   In: Resources Policy.
   RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000271.

   Full description at Econpapers || Download paper

2. A Hybrid Metaheuristic for the Efficient Solution of GARCH with Trend Models. (2018). Schutze, Oliver ; Hernandez-Del, Gerardo ; Perea, Benjamin ; Uribe, Lourdes.
   In: Computational Economics.
   RePEc:kap:compec:v:52:y:2018:i:1:d:10.1007_s10614-017-9666-8.

   Full description at Econpapers || Download paper

3. VOLATILITY SPILLOVER BETWEEN OIL PRICES, US DOLLAR EXCHANGE RATES AND INTERNATIONAL AGRICULTURAL COMMODITIES PRICES. (2017). Siami-Namini, Sima ; Hudson, Darren.
   In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama.
   RePEc:ags:saea17:252845.

   Full description at Econpapers || Download paper

1. Bekaert, G., and Harvey, C. R. (1995). Time-Varying World Market Integration. The Journal of Finance, 50:2, pp. 403–444.

2. Black, F. (1972). Capital market equilibrium with restricted borrowing, Journal of Business, Vol. 45, pp. 444–55.

3. Bollerslev, T., Engle, R. F. and Wooldridge, J. M. (1988). Capital asset pricing model with time-varying covariances, Journal of Political Economy, 96, 116–31.

4. Breitung, Jörg (2000). The Local Power of Some Unit Root Tests for Panel Data, in B. Baltagi (ed.), Advances in Econometrics, Vol. 15: Nonstationary Panels, Panel Cointegration, and Dynamic Panels, Amsterdam: JAI Press, p. 161–178.
   Paper not yet in RePEc: Add citation now
   

5. Chan, Louis K.C., Yasushi Hamao and Josef Lakonishok. (1991). Fundamentals and Stock Returns in Japan, Journal of Finance, 46:5, pp. 1739–789.

6. Das, S. and R. Uppal, (2004). Systemic Risk and International Portfolio Choice, Journal of Finance, 59:6, pp. 2809-2834.

7. deBondt, Werner F. M. and Richard H. Thaler, (1987). Further Evidence on Investor Overreaction and Stock Market Seasonality, Journal of Finance. 42:3, pp. 557– 81.

8. Engel, C., and Rodrigues, A. P., (1989). Tests of international CAPM with timevarying covariances. Journal of Applied Econometrics, Vol. 4, 119–138.

9. Engle, Robert F. and K. F. Kroner, (1995). Multivariate Simultaneous Generalized ARCH, Econometric Theory, 11, pp. 122-150.

10. Fama, E. F., and French, K. R. (1992). The cross-section of expected stock returns, Journal of Finance, pp. 427–465.

11. Fama, E. F., and French, K. R., (2004). The Capital Asset Pricing Model: Theory and Evidence, Journal of Economic Perspectives, 18, pp. 25–46.

12. Fama, E. F., and MacBeth, J. D., (1973). Risk, return, and equilibrium: Empirical tests, The Journal of Political Economy, 81(3), pp. 607–636.

13. Fama, E.F. and French, K.R., (1998). Value Versus Growth: The International Evidence. Journal of Finance, 53:6, pp. 1975–999.

14. Fernandez, V. P. (2005). The international CAPM and a wavelet-based decomposition of value at risk, Studies in Nonlinear Dynamics & Econometrics, 9:4, pp.1–35.

15. Fischer Black and Robert Litterman, (1992). Global Portfolio Optimization, Financial Analysts Journal, 48:5, pp. 28-43 French, K. R., and Poterba, J. M. (1991). Investor Diversification and International Equity Markets, The American Economic Review, 81(2), pp. 222–226.
    Paper not yet in RePEc: Add citation now
    

16. Gibbons, M. R., Ross, S. A., and Shanken, J. (1989). A test of the efficiency of a given portfolio. Econometrica, Journal of the Econometric Society, pp. 1121– 1152.

17. Greene, W. H. (2008). Econometric Analysis, Prentice Hall, Boston.
    Paper not yet in RePEc: Add citation now
    

18. Hadri, Kaddour (2000). Testing for Stationarity in Heterogeneous Panel Data, Econometric Journal, 3, pp. 148–161.

19. Haugen, R. A., and Baker, N. L. (1991). The efficient market inefficiency of capitalization-weighted stock portfolios. The Journal of Portfolio Management, (Spring), 35–40.
    Paper not yet in RePEc: Add citation now
    

20. Kothari, S. P., Jay Shanken and Richard G. Sloan. (1995). Another Look at the CrossSection of Expected Stock Returns, Journal of Finance, 50:1, pp. 185–224.

21. Kumar, P., Sorescu, S. M., Boehme, R. D., and Danielsen, B. R. (2008). Estimation Risk, Information, and the Conditional CAPM: Theory and Evidence, Review of Financial Studies, 21:3, pp. 1037–1075.

22. Levin, A., C. F. Lin, and C. Chu (2002). Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties, Journal of Econometrics, 108, 1–24.

23. Levy, H. (2010). The CAPM is Alive and Well: A Review and Synthesis. European Financial Management, 16(1), pp. 43–71.

24. Levy, M. (2008). CAPM risk-return tests and the length of the sampling period, Working Paper, Hebrew University.
    Paper not yet in RePEc: Add citation now
    

25. Lewellen, J., and Nagel, S. (2006). The Conditional CAPM does not explain assetpricing anomalies, Journal of Financial Economics, 82, 289-314.

26. Lintner, J., (1965). The Valuation of Risk Assets and the Selection of Risky Investments m Stock Portfolios and Capital Budgets, Review of Economics and Statistics, pp. 13-37.
    Paper not yet in RePEc: Add citation now
    

27. MacKinnon, J.G., Haug, A.A., and Michelis, L., (1999), Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration, Journal of Applied Econometrics, 14, pp. 563-577.

28. Maekawa, K., and Setiawan, K., (2012), Estimation of Vector Error Correction Model with GARCH Errors, Proceeding on SMU-ESSEC Symposium on Empirical Finance & Financial Econometrics, 8-9 June 2012, Singapore.
    Paper not yet in RePEc: Add citation now
    

29. Merton, R.C., (1972). An analytic derivation of the efficient portfolio frontier, Journal of Financial and Quantitative Analysis, 7, pp. 1851–72.

30. Pennachi, G. (2008). Theory of Asset Pricing, Pearson, Boston.
    Paper not yet in RePEc: Add citation now
    

31. Sharpe, W., (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, pp. 425-442.

32. Tobin, J. (1958). Liquidity Preference as Behavior Towards Risk, The Review of Economic Studies, 67, pp. 65–86.

33. Tsuji, C. (2009). Can We Resurrect the CAPM in Japan? Evaluating Conditional Asset Pricing Models by Incorporating Time-varying Price of Risk. Research in Applied Economics, 1:1.
    Paper not yet in RePEc: Add citation now
    
34. Wu, H. (2008). International Asset Pricing Models: A Forecasting Evaluation, International Research Journal of Finance and Economics, 15, pp. 175–184.
    Paper not yet in RePEc: Add citation now
    
35. Wu, P. S., & Chiou, J. S. (2007). Multivariate test of Sharpe-Lintner CAPM with Time-Varying Beta. Applied Financial Economics Letters, 3(5), 335–341.
    Paper not yet in RePEc: Add citation now
    
36. Zellner, A. (1962). An efficient method of estimating seemingly unrelated regressions and tests for regression bias, Journal of the American Statistical Association, 57, 348–6.
    Paper not yet in RePEc: Add citation now
    

1. Subcontracting in International Asset Management: New Evidence on Market Integration. (2015). Schumacher, David ; Massa, Massimo.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10465.

   Full description at Econpapers || Download paper

2. The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market. (2013). Marfatia, Hardik ; Kishor, N.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:24:y:2013:i:c:p:1-24.

   Full description at Econpapers || Download paper

3. Theory and practice of corporate finance: Evidence and distinctive features in Latin America. (2012). Maquieira, Carlos P. ; Sarria-Allende, Virginia ; Preve, Lorenzo A..
   In: Emerging Markets Review.
   RePEc:eee:ememar:v:13:y:2012:i:2:p:118-148.

   Full description at Econpapers || Download paper

4. Home Bias in Open Economy Financial Macroeconomics. (2012). Rey, Helene ; Coeurdacier, Nicolas.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:8746.

   Full description at Econpapers || Download paper

5. Home Bias in Open Economy Financial Macroeconomics. (2011). Rey, Helene ; Coeurdacier, Nicolas.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:17691.

   Full description at Econpapers || Download paper

6. Diversifying market and default risk in high grade sovereign bond portfolios. (2011). Kobor, Adam ; Rustaman, Vidhya ; Brennan, Myles .
   In: BIS Papers chapters.
   RePEc:bis:bisbpc:58-04.

   Full description at Econpapers || Download paper

7. Global Yield Curves and Sovereign Bond Market Integration. (2009). RAHMAN, Shahidur ; Xiaoneng, ZHU .
   In: Economic Growth Centre Working Paper Series.
   RePEc:nan:wpaper:0902.

   Full description at Econpapers || Download paper

8. International Diversification: A Copula Approach. (2009). Lu, Ching-Chih ; de la Pena, Victor ; Chollete, Loran .
   In: UiS Working Papers in Economics and Finance.
   RePEc:hhs:stavef:2009_027.

   Full description at Econpapers || Download paper

9. International Diversification: An Extreme Value Approach. (2009). Lu, Ching-Chih ; de la Pena, Victor ; Chollete, Loran .
   In: UiS Working Papers in Economics and Finance.
   RePEc:hhs:stavef:2009_026.

   Full description at Econpapers || Download paper

10. CHINAS FINANCIAL MARKET INTEGRATION WITH THE WORLD. (2009). Johansson, Anders.
    In: Working Paper Series.
    RePEc:hhs:hacerc:2009-010.

    Full description at Econpapers || Download paper

11. Testing for Convergence in Stock Markets: A Non-Linear Factor Approach. (2009). Caporale, Guglielmo Maria ; Erdogan, Burcu ; Kuzin, Vladimir .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2845.

    Full description at Econpapers || Download paper

12. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. (2009). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Beirne, John ; Schulze-Ghattas, Marianne .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2545.

    Full description at Econpapers || Download paper

13. Stock market integration in the Latin American markets: further evidence from nonlinear modeling. (2009). Million, Nicolas ; JAWADI, Fredj ; AROURI, Mohamed ; Mohamed El Hedi Arouri, ; Mohamed El Hedi Arouri, .
    In: Papers.
    RePEc:arx:papers:0905.3874.

    Full description at Econpapers || Download paper

14. North Africa Stock Markets: Analysis of Unit Root and Long Memory Process. (2009). Onour, Ibrahim.
    In: API-Working Paper Series.
    RePEc:api:apiwps:0906.

    Full description at Econpapers || Download paper

15. Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience. (2008). Miller, Stephen ; Canarella, Giorgio ; Pollard, Stephen K..
    In: Working papers.
    RePEc:uct:uconnp:2008-49.

    Full description at Econpapers || Download paper

16. Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks. (2007). Karolyi, G. ; Gagnon, Louis .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-11.

    Full description at Econpapers || Download paper

17. Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets. (2006). Kräussl, Roman ; Canto, Bea ; Kraussl, Roman.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200625.

    Full description at Econpapers || Download paper

18. Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter. (2006). Siliverstovs, Boriss ; Neumann, Anne ; Hirschhausen, Christian.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:13:y:2006:i:11:p:727-732.

    Full description at Econpapers || Download paper

19. Comovements in International Stock Markets. (2006). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: ICER Working Papers.
    RePEc:icr:wpicer:3-2006.

    Full description at Econpapers || Download paper

20. Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US. (2006). Lewis, Karen K..
    In: Working Papers.
    RePEc:ecl:upafin:06-6.

    Full description at Econpapers || Download paper

21. The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?. (2006). Sarkissian, Sergei ; Carrieri, Francesca ; Errunza, Vihang.
    In: Working Papers.
    RePEc:ecl:upafin:06-4.

    Full description at Econpapers || Download paper

22. Mean-Variance Convergence around the World. (2006). Eun, Cheol S. ; Lee, Jinsoo.
    In: Working Papers.
    RePEc:ecl:upafin:06-1.

    Full description at Econpapers || Download paper

23. Financial Globalization, Governance, and the Evolution of the Home Bias. (2006). Warnock, Francis ; Stulz, René ; Kho, Bong-Chan.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-12.

    Full description at Econpapers || Download paper

24. Free trade agreements and equity market integration: the case of the US and Jordan. (2005). Al-Zoubi, Haitham ; Al-Zuobi, Hiatham ; Maghyereh, Aktham.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:14:p:995-1005.

    Full description at Econpapers || Download paper

25. International Capital Flows in a World of Greater Financial Integration. (2005). Hnatkovska, Viktoria ; Evans, Martin.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:419.

    Full description at Econpapers || Download paper

26. Capital Controls, Sudden Stops and Current Account Reversals. (2005). Edwards, Sebastian.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11170.

    Full description at Econpapers || Download paper

27. International Stock Return Comovements. (2005). zhang, xiaoyan ; Hodrick, Robert ; Bekaert, Geert.
    In: Working Papers.
    RePEc:ecl:upafin:06-3.

    Full description at Econpapers || Download paper

28. European Union enlargement and equity markets in accession countries. (2005). Podpiera, Richard ; Dvorak, Tomas .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005552.

    Full description at Econpapers || Download paper

29. Measuring market and inflation risk premia in France and in Germany. (2005). Guene, Stephane ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005436.

    Full description at Econpapers || Download paper

30. Banks� participation in the Eurosystem auctions and money market integration. (2005). Scalia, Antonio ; Bruno, Giuseppe ; Ordine, Ernesto Maurizio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_562_05.

    Full description at Econpapers || Download paper

31. International Asset Pricing and World Market Integration : Evidence from a Partially Integrated ICAPM with Asymmetric Effects.. (2004). El Hedi, AROURI Mohamed .
    In: International Finance.
    RePEc:wpa:wuwpif:0410001.

    Full description at Econpapers || Download paper

32. The effect of the Euro on country versus industry portfolio diversification. (2004). Flavin, Thomas.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1411004.

    Full description at Econpapers || Download paper

33. Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events.. (2004). lucey, brian ; Aggarwal, Raj ; Muckley, Cal ; O'Rourke, Kevin .
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp019.

    Full description at Econpapers || Download paper

34. Privatization and Stock Market Liquidity. (2004). Schindele, Ibolya ; Nicodano, Giovanna ; de Jong, Frank ; Bortolotti, Bernardo.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0023.

    Full description at Econpapers || Download paper

35. Financial openness and growth: short-run gain, long-run pain?. (2004). Fratzscher, Marcel ; Bussiere, Matthieu.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004348.

    Full description at Econpapers || Download paper

36. Cross-board listings, capital controls, and equity flows to emerging markets. (2003). Warnock, Francis ; Edison, Hali.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:770.

    Full description at Econpapers || Download paper

37. Financial development and stock returns: A cross country analysis. (2002). Dellas, Harris ; Hess, Martin K..
    In: Diskussionsschriften.
    RePEc:ube:dpvwib:dp0218.

    Full description at Econpapers || Download paper

38. Expropriation Risk and Return in Global Equity Markets. (2002). Bansal, Ravi ; Dahlquist, Magnus.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0008.

    Full description at Econpapers || Download paper

39. The Halloween Indicator, Sell in May and Go Away: Another Puzzle. (2002). Bouman, Sven ; Jacobsen, Ben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:92:y:2002:i:5:p:1618-1635.

    Full description at Econpapers || Download paper

40. Does Financial Liberalization Spur Growth?. (2001). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8245.

    Full description at Econpapers || Download paper

41. Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time. (2000). Madhavan, Ananth ; Domowitz, Ian ; Glen, Jack .
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2000-322.

    Full description at Econpapers || Download paper

42. Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?. (2000). Harvey, Campbell ; Dumas, Bernard ; Ruiz, Pierre.
    In: Working Papers.
    RePEc:ecl:upafin:00-2.

    Full description at Econpapers || Download paper

43. How Much Did Excess Debt Contribute to the 1997 Currency Crisis in Korea?. (1999). Qin, Duo.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp407.

    Full description at Econpapers || Download paper

44. Political Risk, Financial Crisis, and Market Volatility. (1999). Mei, Jianping.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-049.

    Full description at Econpapers || Download paper

45. Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel. (1998). Garcia, René.
    In: L'Actualité Economique.
    RePEc:ris:actuec:v:74:y:1998:i:3:p:467-484.

    Full description at Econpapers || Download paper

46. L’intégration des marchés émergents et la modélisation des rendements des actifs risqués. (1997). Boyer, Marcel ; Ghysels, Eric ; Cherkaoui, Mouna .
    In: L'Actualité Economique.
    RePEc:ris:actuec:v:73:y:1997:i:1:p:311-330.

    Full description at Econpapers || Download paper

47. Re-emerging Markets. (1997). Jorion, Philippe ; Goetzmann, William.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5906.

    Full description at Econpapers || Download paper

48. The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US. (1996). Karolyi, G. ; Stephen R. Foerster and, .
    In: Research in Financial Economics.
    RePEc:wop:ohsrfe:9606.

    Full description at Econpapers || Download paper

49. Conditional Asset Allocation in Emerging Markets. (1994). Harvey, Campbell.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4623.

    Full description at Econpapers || Download paper

50. Predictable Risk and Returns in Emerging Markets. (1994). Harvey, Campbell.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4621.

    Full description at Econpapers || Download paper

Report date: 2025-03-12 15:28:30 || Missing content? Let us know