Recent interest in futures contracts on emerging market currencies has raised concerns among some central bank authorities about their ability to maintain stable currencies. This paper presents empirical results examining the influence of the Mexican peso, the Brazilian real, and the Hungarian...

The application of a SWARCH model to stock market returns allows one to endogenously determine the regime dependence of the stock market volatility. Comparison of the results from a sample of daily data from five major stock markets shows that the majority of the markets switch regimes...