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Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model

✍ Scribed by Huang, Lin; Wu, Jia; Zhang, Rui

Book ID: 126186808
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 506 KB
Volume: 21
Category: Article
ISSN: 1566-0141
DOI: 10.1016/j.ememar.2014.08.002

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## Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French t