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Structural Change and Asset Pricing in Emerging Markets. (1996). Ghysels, Eric ; Garcia, René.
In: CIRANO Working Papers.
RePEc:cir:cirwor:96s-34.

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Cited: 8

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Cites: 18

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Cocites: 50

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  1. Tests of the CAPM under structural changes. (2005). Huang, Ho-Chuan ; Cheng, Wan-Hsiu .
    In: International Economic Journal.
    RePEc:taf:intecj:v:19:y:2005:i:4:p:523-541.

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  2. Asset pricing dynamics. (2003). Markellos, Raphael ; Mills, Terence .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:9:y:2003:i:6:p:533-556.

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  3. Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE). (1999). Muradoglu, Yaz ; Metin Özcan, Kivilcim ; Berument, Hakan.
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:3:y:1999:i:4:p:223-252.

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  4. Regime-Switching in Emerging Stock Market Returns. (1998). Assoe, Kodjovi G..
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:2:y:1998:i:2:p:101-132.

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  5. 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.

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  6. Tests of Conditional Asset Pricing Models in the Brazilian Stock Market. (1997). Garcia, René ; Bonomo, Marco.
    In: Cahiers de recherche.
    RePEc:mtl:montde:9715.

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  7. Tests of Conditional Asset Pricing Models in the Brazilian Stock Market. (1997). Garcia, René ; Bonomo, Marco.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-20.

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  8. On Stable Factor Structures in the Pricing of Risk. (1995). Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-16.

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References

References cited by this document

  1. 1 Andrews, D.W.K. 1993, Tests for Parameter Instability and Structural Change with Unknown Change Point, Econometrica 61,

  2. 10 Gallant, A.R. and H. White 1988, A Unied Theory of Estimation and Inference for Nonlinear Dynamic Models, Basil Blackwell, New-York.
    Paper not yet in RePEc: Add citation now
  3. 11 Ghysels, E. 1996, On Stable Factors in the Pricing of Risk, Discussion Paper, Cirano and C.R.D.E., Universite de Montreal.
    Paper not yet in RePEc: Add citation now

  4. 12 Ghysels, E. and A. Hall 1990a, A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator, International Economic Review

  5. 13 Ghysels, E. and A. Hall 1990b, Are Consumption-Based Intertemporal Capital Asset Pricing Models Structural?, Journal of Econometrics 45, 121-139.

  6. 14 Ghysels, E., A. Guay and A. Hall 1994, Predictive Tests for Structural Change with Unknown Breakpoint Journal of Econometrics forthcoming.

  7. 15 Hansen, L.P., 1982, Large Sample Properties of Generalized Method of Moments Estimators, Econometrica 50, 1029-1054.

  8. 16 Hansen, L.P. and R. Jagannathan 1991, Implications of security market data for models of dynamic economies. Journal of Political Economy 99, 225-262.

  9. 17 Harvey, C.R. 1991, The World Price of Covariance Risk, Journal of Finance XLVI, 111-157.

  10. 18 Harvey, C.R. 1995, Predictable risk and returns in emerging markets , Review of Financial Studies 8, 773-816.

  11. 2 Andrews, D.W.K. and R. Fair 1988, Inference in Econometric Models with Structural Change, Review of Economic Studies 55,
    Paper not yet in RePEc: Add citation now

  12. 3 Bekaert, G. and C.R. Harvey 1995, Time-varying world market integration, Journal of Finance 50, 403-444.

  13. 4 Bekaert, G. and C.R. Harvey 1996, Emerging Equity Market Volatility, Journal of Financial Economics forthcoming.

  14. 5 Dufour, J.M., E. Ghysels and A. Hall 1994 Generalized Predictive Tests for Structural Change, International Economic Review 35,

  15. 6 Ferson, W.E.,1985, Changes in expected risk premiums and security risk measures. Proceedings of the European Finance Association.
    Paper not yet in RePEc: Add citation now

  16. 7 Ferson, W.E. and C.R. Harvey, 1991, The Variation of Economic Risk Premiums, Journal of Political Economy 99, 385-415.

  17. 8 Ferson, W.E. and C.R. Harvey, 1995, The risk and predictability of international equity returns, Review of Financial Studies 6, 527566.

  18. 9 Ferson, W.E. and R.A. Korajczyk 1995, Do arbitrage pricing models explain the predictability of stock returns?, Journal of Business 68, 309-349.

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