This paper reexamines the forward rate unbiasedness hypothesis (FRUH) during the 1920s and it contributes to the literature as follows: first, it utilizes a database that includes currencies not studied before, as well as the 3 month forward rates; second, it applies three different approaches...

The financial crisis of 2007-2009 has questioned the provisions of Basel II agreement on capital adequacy requirements and the appropriateness of VaR measurement. This paper reconsiders the use of Value-at-risk as a measure for potential risk of economic losses in financial markets by estimating...

This paper examines whether the dynamic behaviour of stock market volatility for four Latin American stock markets (Argentina, Brazil, Chile and Mexico) and a mature stock market, that of the US, has changed during the last two decades. This period corresponds to years of significant financial...

This paper examines long-run relationships between four Latin America stock markets and a mature stock market that of the US. We estimate both the autoregressive and moving average representations of a VAR model as suggested by Johansen [Johansen, S. (1988). Statistical analysis of cointegrating...

This paper provides an analysis of the long-run relationships and short-run dynamics between stock prices and exchange rates as well as the channels through which exogenous shocks influence these markets. We use monthly data for the period January 1980 to February 2009 for four Latin America,...