This article applies the panel unit root test of Carrion-i-Silvestre <italic>et al.</italic> (2005) to examine the relative prices of 24 nonfuel commodities over the period from 1900 to 2003. This test method allows for endogenous multiple structural breaks and the presence of cross-sectional dependence among...

This article employed the Momentum Threshold Autoregressive (M-TAR) model to investigate the changes in the asymmetric co-integration relationship between the US and China's stock markets and Asian stock markets of Taiwan, Hong Kong, Singapore, Japan, Korea and India around the subprime mortgage...