Диссертация (1137718), страница 19
Текст из файла (страница 19)
Glosten, R. Jaganathan, R.Runkle // Journal of Finance. – 1993. - Vol.48. - №5. - P.1779-1801.46. Groenewold, N. Share market efficiency: Tests using daily data forAustralia and New Zealand / N. Groenewold // Applied FinancialEconomics. – 1997. - Vol.7. - P.645-657.47. Groenewold, N.
Time-varying estimates of CAPM betas / N. Groenewold,P. Fraser // Mathematics and Computers in Simulations. – 1999. - Vol.48. P.531-539.48. Hamilton, J.D. A New approach to the economic analysis of nonstationarytime series and the business cycle / J.D. Hamilton // Econometrica. – 1989.– Vol.57. - №2. - P.357-384.49.
Harvey, C.R. The world price of covariance risk / C.R. Harvey // Journal ofFinance. – 1991. - Vol.46. - №1. - P.111-157.50. Hastie, T. Varying-coefficient models / T. Hastie, R. Tibshirani // Journalof the Royal Statistic Society, Series B (Methodology). – 1993. - Vol.55.
№4. - P.757-796.51. He, Z. Dynamic betas for Canadian sector portfolios / Z. He, L.Kryzanowski // International Review of Financial Analysis. – 2008. Vol.17. - P.1110–1122.14552. Huang R.H.C. Tests of regime-switching CAPM / R.H.C. Huang//Applied Financial Economics.
– 2000. - Vol.10. - P.573-578.53. Jacobs, B.L. Portfolio optimization with factors, scenarios, and realisticshort positions / B.L. Jacobs, K.N. Levy, H.M. Markowitz // OperationsResearch. – 2005. - Vol.53. - №4. - P.586-599.54. Jacobs, B.L. On the optimality of long-short strategies / B.L. Jacobs, K.N.Levy, D. Starter // Financial Analysts Journal. – 1998. - Vol.54. - №2. P.40-51.55. Jarrow, R.A. Active portfolio management and positive alphas: Fact orfantasy? / R.A. Jarrow // Journal of Portfolio Management. – 2010. Vol.36. - №4. - P.17–22.56. Johansson, A.C. Stochastic volatility and time-varying country risk inemerging markets / A.C. Johansson // European Journal of Finance.
– 2009.- Vol.15. - №3. - P.337-363.57. Jostova, G. Bayesian analysis of stochastic betas / G. Jostova, A. Philipov //Journal of Financial and Quantitative Analysis. – 2005. - Vol.40. - №4. P.747-778.58. Kalman, R.E. A new approach to linear filtering and prediction problems /R.E. Kalman // Journal of Basic Engineering. – 1960.
- Vol.82. - №1. P.35–45.59. Keating, C. A universal performance measure / C. Keating, W.F. Shadwick// UK: The Finance Development Centre Limited. - 2002. – P.1-33.60. Kim, D. The extent of nonstationarity of beta / D. Kim // Review ofQuantitative Finance and Accounting. – 1993. - Vol.3. - P.241-254.14661. Kim, W.
Factors affecting systematic risk in the US restaurant industry / W.Kim, B. Ryan, S. Ceschini // Tourism Economics. – 2007. - Vol.13. - №2. P.197-208.62. Klaassen, P. Financial asset pricing theory and stochastic programmingmodels for asset/liability management: A synthesis / P. Klaassen //Management Science. – 1998.
- Vol.44. - P.31-48.63. Kok, K.L. Stability and predictability of betas of Malaysian securities /K.L. Kok // Securities Industry Review. – 1992. - Vol.18. - P.65-74.64. Li, Q. Optimal trade-off portfolio selection between total risk andmaximum relative marginal risk / Q. Li, Y. Bai // Optimization Methodsand Software. – 2016. - Vol.31.
- №4. - P.681-700.65. Li, Q. Smooth varying-coefficient estimation and inference for qualitativeand quantitative data / Q. Li, J.S. Racine // Econometric Theory. – 2010. Vol.26. - P.1607-1637.66. Li, X.. On unstable beta risk and its modelling techniques for New Zealandindustry portfolios / X.
Li // Massey University Commerce. Working Paper03.01.–2003.–URL:http://www.nzfc.ac.nz/archives/2004/Papers/docs/LiXM.pdf67. Li, Y. Testing conditional factor models: A nonparametric approach / Y. Li,L. Yang // Journal of Empirical Finance. – 2011. - Vol.18. - P.972-992.68. Li, Y. Active allocation of systematic risk and control of risk sensitivity inportfolio optimization / Y. Li, S. Zhu, D. Li, D. Li // European Journal ofOperational Research. – 2013. - Vol.228. - №3.
- P.556-570.69. Lie, F. Modelling the equity beta risk of Australian financial sectorcompanies / F. Lie, R. Brooks, R. Fama // Australian Economic Papers. –2000. - Vol.39. - P.301-311.14770. Lie, F. Global industry betas / F. Lie, R. Faff // Applied Economic Letters.– 2003. - Vol.10. - №1. - P.21-26.71. Lintner, J. The valuation of risky assets and the selection of riskyinvestments in stock portfolios and capital budgets / J. Lintner // Review ofEconomics and Statistics.
– 1965. - Vol.47. - P.13-37.72. Long, L. Estimating time-varying currency betas with contagion: Newevidence from developed and emerging financial markets / L. Long, A.K.Tsui, Z. Zhang // Japan and the World Economy. - 2014. - Vol.30. - P.1024.73. Markowitz, H.M. Portfolio selection / H.M. Markowitz // Journal ofFinance. – 1952.
- Vol.12. - P.77-91.74. Markowitz,H.M.Portfolioselection:Efficientdiversificationofinvestments / H.M. Markowitz. - New York: John Wiley and Sons, 1959. 356 p.75. Marshall, A. The estimation and determinants of emerging market countryrisk and the dynamic conditional GARCH model / A.
Marshall, T.Maulana, L. Tang // International Review of Financial Analysis. – 2009. Vol.18. - №5. - P.250−259.76. McKenzie, M.D. The use of domestic and world market indexes in theestimation of time-varying betas / M.D. McKenzie, R.D. Brooks, R.W. Faff// Journal of Multinational Financial Management. – 2000. - Vol.10. - №1.- P.91-106.77. Mergner, S.
Time-varying beta risk of Pan-European industry portfolios: Acomparison of alternative modeling techniques / S. Mergner, J. Bulla //European Journal of Finance. – 2008. - Vol.14. - №8. - P.771-802.14878. Merton, R. Optimum consumption and portfolio rules in a continuous-timemodel / R. Merton // Journal of Econometric Theory. – 1971. - Vol.3.
- №4.- P.373-413.79. Merton, R.C. Optimum consumption and portfolio rules in a continuoustime model / R.C. Merton // Journal of Economic Theory. – 1971. - Vol.3. №4. - P.373–413.80. Morgan, J.P. RiskMetrics (TM): Technical Document / J.P. Morgan - 4 ed.- New York: Morgan Guaranty Trust Company, 1996. – 296 p.81. Mossin, J. Optimal multiperiod portfolio policies / J. Mossin // Journal ofBusiness. – 1968. - Vol.41. - №2. - P.215–229.82. Mulvey J.
Financial planning via multi-stage stochastic optimization / J.Mulvey, B. Shetty // Computers & Operations Research. – 2004. - Vol.31. №1. - P.1-20.83. Oetzel, J.M. Country risk measures: How risky are they? / J.M. Oetzel,R.A. Bettis, M. Zenner // Journal of World Business. – 2001. - Vol.36. №2.
- P.128-145.84. Patro, D.K. The impact of macroeconomic and financial variables onmarket risk: Evidence from international equity returns / D.K. Patro, J.K.Wald, Y. Wu // European Financial Management. – 2002. - Vol.8. - №4. P.421-447.85. Pretorius, E. Economic determinants of emerging stock marketinterdependence / E. Pretorius // Emerging Markets Review. – 2002.
Vol.3. - №1. - P.84-105.14986. Rabiner, L. A tutorial on hidden Markov models and selected applicationsin speech recognition / L. Rabiner // IEEE Transactions on InformationTheory. – 1989. - Vol.77. - №2. - P.257-284.87. Rockafellar, R.T. Optimization of conditional Value-at-Risk / R.T.Rockafellar, S. Uryasev // Journal of Risk. – 2000. - Vol.2. - P.21-42.88. Samuelson, P. Lifetime portfolio selection by dynamic stochasticprogramming / P. Samuelson // Review of Economic Statistics. – 1969.
Vol.51. - №3. - P.239–246.89. Schwert, G.W. Heteroskedasticity in stock returns / G.W. Schwert, P.Seguin // Journal of Finance. – 1990. - Vol.45. - P.1129-1155.90. Shah, A. Testing for time variation in beta in India / A. Shah, S.A. Moonis// Journal of Emerging Markets Finance. – 2003. - Vol.2. - №2. - P.163–180.91. Sharpe, W.F. Capital asset prices: a theory of market equilibrium underconditions of risk / W.F. Sharpe // Journal of Finance. – 1964.
- Vol.45. P.425-442.92. Shen, C.H. Testing efficiency of the Taiwan-US forward exchange market– a Markov switching model / C.H. Shen // Asian Economic Journal. –1994. - Vol.8. - P.205-215.93. Solnik, B. A multi-country test of the Fisher model for stock returns / B.Solnik, V. Solnik // Journal of International Financial Markets, Institutionsand Money. – 1997. - Vol.7. - №4. - P.289-301.94. Sortino, F. Performance measurement in a downside risk framework / F.Sortino, L. Price // Journal of Investing.
– 1994. - Vol.3. - №3. - P.59-64.15095. Stulz, R. A model of international asset pricing / R. Stulz // Journal ofFinancial Economics. – 1981. - Vol.9. - №4. - P.383-406.96. Sunder, S. Stationarity of market risk: Random coefficients tests forindividual stocks / S. Sunder // Journal of Finance.
– 1980. - Vol.4. - P.1129-55.97. Teles, V.C. Monetary policy and country risk / V.C. Teles, J. Andrade //Applied Economics. – 2008. - P.2021-2028.98. Teplova, T.V. A higher moment downside framework for conditional andunconditional CAPM in the Russian stock market / T.V. Teplova, E.Shutova // Eurasian Economic Review. – 2011. - Vol.1. - №2. - P.157-178.99.
Ulku, N. Country world betas: The link between stock market beta andmacroeconomic beta / N. Ulku, S. Baker // Finance Research Letters. –2014. - Vol.11. - №1. - P.36-46.100. Verbenik, M. Country risk in the new EU member states: A country betaapproach / M. Verbenik, J. Horvath, V. Gazda // International ResearchJournal of Finance and Economics.
– 2011. - Vol.80. - P.148-157.101. Verma, R. Modelling country risk in Latin America: A country betaapproach / R. Verma, G. Soydemir // Global Finance Journal. – 2006. Vol.17. - №2. - P.192-213.102. Wells, C. Variable betas on the Stockholm exchange 1971-1989 / C. Wells// Applied Economics. – 1994. - Vol.4. - P.75-92.103. Yun, J. Forecating volatility in the New Zealand stock market / J.
Yun //Applied Financial Econometrics. – 2002. - Vol.12. - P.193-20.104. Zhu, S. Portfolio selection with marginal risk control / S. Zhu // Journal ofComputational Finance. – 2010. - Vol.14. - №1. - P.3-28.151СПИСОК ТАБЛИЦТаблица 1. Используемая выборка. ..................................................................... 19Таблица 2.
![](https://s.studizba.com/z.php?f=/templates/si/i/noavatar.png&w=100&h=100&t=1"){kind=avatar}
