This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...

We investigate RMB pricing differentials for onshore and offshore trading. Testing for long memory, we find strong persistence in the pricing differential. Hence, the Chinese FX market in its bipolar structure still lacks basic conditions for perfectly integrated markets.

We investigate RMB pricing differentials for onshore and offshore trading. Testing for long memory, we find strong persistence in the pricing differential. Hence, the Chinese FX market in its bipolarstructure still lacks basic conditions for perfectly integrated markets

This study draws on machine learning as a means to causal inference for econometric investigation. We utilize the concept of transfer entropy to examine the relationship between the US National Association of Home Builders Index and the S&P CoreLogic Case-Shiller 20 City Composite Home Price...

We investigate RMB pricing differentials for onshore and offshore trading. Testing for long memory, we find strong persistence in the pricing differential. Hence, the Chinese FX market in its bipolar structure still lacks basic conditions for perfectly integrated markets.