This chapter deals with the dynamic relationship between term and credit spreads within a framework that incorporates regime shifts. Through the estimation of an asymmetric Markov-Switching Vector Equilibrium Correction Model (MS-VECM), comprising the short- and the long-term risk-free rate and...

In the present article, we examine the dynamics of euro-area sovereign bond yield spreads focusing on issues related to financial integration and market conditions. The property of a root falling near the unity threshold, in the data generation process of the underlying bond yields, marks the...

In this paper, we assess the movements of euro area sovereign bond yield spreads vis-à-vis the German Bund as processes specified across different levels of volatility and subject to movements in asset prices and economic conditions. The determinants we use are grouped into domestic and...

This paper investigates the profitability of a trading strategy, based on recurrent neural networks, that attempts to predict the direction-of-change of the market in the case of the NASDAQ composite index. The sample extends over the period 8 February 1971 to 7 April 1998, while the sub-period...