Effects of financial turmoil on financial integration and risk premia in emerging markets
The aim of this article is to analyze how financial crises affect the dynamics of international financial integration and of the risk premia in emerging markets. Accordingly, we estimate a variant of the International Asset Pricing Model developed by Carrieri et al. (2007), allowing for time-varying...
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2016
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| Online Access: | http://hdl.handle.net/20.500.12458/38 https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973558378&doi=10.1016%2fj.jempfin.2016.06.001&partnerID=40&md5=14e9d9aada85eebcf5a5e4b3eec9a65c |
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