Equilibrium moment restrictions on asset returns: normal and crisis periods

References

• Balkombe, K. (2010). The nature and determinants of volatility in agricultural prices: An empirical study from 1962–2008. Commodity Market Review 2009–2010, 1–24. Rome: Food and Agriculture Organization of the United Nations.
   Google Scholar
• Beirne, J., G.M. Caporale, M. Schulze-Ghattas, and N. Spagnolo. 2009. Volatility spillovers and contagion from mature to emerging stock markets. European Central Bank Working Paper Series 1113, European Central Bank, Frankfurt, Germany.
   Google Scholar
• Bekaert, G., C. Erb, Harvey, C., and T. Viskanta (1997). The cross-sectional determinants of emerging equity market returns. In Quantitative investing for the global markets–strategies, tactics and advanced analytical techniques, Chapter 9, ed. Carman Peter, 221–72. Chicago: Glenlake Publishing.
   Google Scholar
• Bekaert, G., and C. Harvey (2003). Emerging market finance. Journal of Empirical Finance 10, no. 1–2: 3–55. doi: 10.1016/S0927-5398(02)00054-3
   Google Scholar
• Bekaert, G., C. Harvey, and Ng, A. (2005). Market integration and contagion. Journal of Business 78, no. 1: 39–69. doi: 10.1086/426519
   Web of Science ®Google Scholar
• Brav, A., G. Constantinides, and Géczy, C. (2002). Asset pricing with heterogeneous consumers and limited participation: Empirical evidence. Journal of Political Economy 110, no. 4: 793–824. doi: 10.1086/340776
   Web of Science ®Google Scholar
• Brennan, M. J., A.W Wang, and Y. Xia (2004). Estimation and test of a simple model of intertemporal capital asset pricing. Journal of Finance 59, no. 4: 1743–75. doi: 10.1111/j.1540-6261.2004.00678.x
   Web of Science ®Google Scholar
• Campbell, J., and J.H Cochrane (1999). By force of habit: A consumption-based explanation of aggregate stock market behaviour. Journal of Political Economy 107, no. 2: 205–51. doi: 10.1086/250059
   Web of Science ®Google Scholar
• Cappiello, L., R. Engle, and Sheppard, K. (2006). Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics 4, no. 4: 537–72. doi: 10.1093/jjfinec/nbl005
   Google Scholar
• Chiarella, C., R. Dieci, and He, X. (2011). Do heterogeneous beliefs diversify market risk?. European Journal of Finance 17, no. 3: 241–58. doi: 10.1080/1351847X.2010.481457
   Web of Science ®Google Scholar
• Diasakos, T. 2010. Comparative statics of general equilibrium asset prices. Carlo Alberto Notebooks no. 72, Collegio Carlo Alberto, Torino, Italy.
   Google Scholar
• Diebold, F., and G. Strasser. 2010. On the correlation structure of microstructure noise in theory and practice: A financial economic approach. NBER Working Paper 16469, National Bureau of Economic Research Inc., Chestnut Hill, MA.
   Google Scholar
• Diebold, F., and K. Yilmaz (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. Economic Journal 199, no. 534: 158–71. doi: 10.1111/j.1468-0297.2008.02208.x
   Web of Science ®Google Scholar
• Easley, D., and O'Hara, M. (1992). Time and the process of security price adjustment. Journal of Finance 47, no. 2: 577–605. doi: 10.1111/j.1540-6261.1992.tb04402.x
   Web of Science ®Google Scholar
• Erb, C., and C. Harvery (2006). The strategic and tactical value of commodity futures. Financial Analysts Journal 62, no. 2: 69–97. doi: 10.2469/faj.v62.n2.4084
   Web of Science ®Google Scholar
• Fama, E., and K. French (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, no. 1: 3–56. doi: 10.1016/0304-405X(93)90023-5
   Web of Science ®Google Scholar
• Gilbert, C. L. (2010). Commodity speculation and commodity investment. Commodity Market Review 2009–2010 25–46. Rome: Food and Agriculture Organization of the United Nations.
   Google Scholar
• Glosten, L. R., and P.R Milgrom (1985). Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics 14, no. 1: 71–100. doi: 10.1016/0304-405X(85)90044-3
   Web of Science ®Google Scholar
• Hasbrouck, J. (2002). Stalking the efficient price in empirical microstructure specifications. Journal of Financial Markets 5, no. 3: 329–39. doi: 10.1016/S1386-4181(02)00029-0
   Web of Science ®Google Scholar
• Heaton, J., and D. Lucas (1996). Evaluating the effects of incomplete markets on risk-sharing and asset pricing. Journal of Political Economy 104, no. 3: 443–87. doi: 10.1086/262030
   Web of Science ®Google Scholar
• Hernandez, M., and M. Torero (2010). Examining the dynamic relationship between spot and futures prices of agricultural commodities. Commodity Market Review 2009–2010 47–86. Rome: Food and Agriculture Organization of the United Nations.
   Google Scholar
• Kalotychou, E., S. Staikouras, and G. Zhao. 2009. On the dynamics of asset correlations: What matters to portfolio managers. Cass Business School working paper, Cass Business School, London.
   Google Scholar
• Karolyi, G. A. (2002). Did the Asian financial crisis scare foreign investors out of Japan?. Pacific-Basin Finance Journal 10, no. 4: 411–42. doi: 10.1016/S0927-538X(02)00067-7
   Google Scholar
• Karolyi, G. A. (2003). Does international financial contagion really exist?. International Finance 6, no. 2: 179–99. doi: 10.1111/1468-2362.00114
   Google Scholar
• Kelsey, D., R. Kozhan, and Pang, W. (2011). Asymmetric momentum effects under uncertainty. Review of Finance 15, no. 5: 603–31. doi: 10.1093/rof/rfq021
   Web of Science ®Google Scholar
• Kolanovic, M. 2011. Rise of cross-asset correlations: Asset class roadmap for equity investors. Global Equity Derivatives and Delta One Strategy Report, J.P. Morgan Chase & Co.
   Google Scholar
• Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica 53, no. 6: 1315–36. doi: 10.2307/1913210
   Web of Science ®Google Scholar
• Li, H., and E. Majerowska (2008). Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach. Research in International Business and Finance 22, no. 3: 247–66. doi: 10.1016/j.ribaf.2007.06.001
   Google Scholar
• Liu, Y. A., and M. Pan (1997). Mean and volatility spillover effects in the U.S. and Pacific-Basin stock markets. Multinational Finance Journal 1, no. 1: 47–62.
   Google Scholar
• Mukherjee, K. N., and R.K Misha (2010). Stock market integration and volatility spillover: India and its Asian counterparts. Research in International Business and Finance 24, no. 2: 235–51. doi: 10.1016/j.ribaf.2009.12.004
   Google Scholar
• Pinto, B., and S. Utalov. 2010. Financial globalization and the Russian crisis of 1998. World Bank Policy Research Working Paper 5312, World Bank, Washington, DC.
   Google Scholar
• Roll, R. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance 39, no. 4: 1127–39. doi: 10.1111/j.1540-6261.1984.tb03897.x
   Web of Science ®Google Scholar
• Tang, K., and W. Xiong. 2010. Index investment and financialization of commodities. NBER Working Paper 16385, National Bureau of Economic Research Inc., Chestnut Hill, MA.
   Google Scholar
• You, L., and R.T Diagler (2010). Using four-moment tail risk to examine financial and commodity instrument diversification. Financial Review 45, no. 4: 1101–23. doi: 10.1111/j.1540-6288.2010.00287.x
   Google Scholar