A state-dependent international CAPM for partially integrated markets: Using local and US risk factors
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DOI: 10.1016/j.gfj.2024.101023
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More about this item
Keywords
State-dependent international CAPM; Emerging markets; International connectedness; US and local risk factors;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
Statistics
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