A number of authors have found significant cointegrating relationships between spot exchange rates and domestic and foreign price levels for the major currencies where the magnitude of the coefficients makes economic interpretation of PPP cumbersome. Using theoretically well motivated nonlinear...

This article examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MVGARCH) framework, the dependence of returns is examined by a copula approach....

In a unique study Harbaugh, Krause and Vesterlund (2002), reported the interesting result that children exhibit different probability weighting to adults. In particular, children underweighted small probabilities. An objective of this paper is to re-examine this issue employing children...

Growth models under uncertainty and constant relative risk aversion (CRRA) utility are fragile in explaining consumers’ choice, as equilibrium consumption is dependent on distributional assumptions. We show that, under semi-nonparametric distributions, general equilibrium models are stable, as...

Recent research has reported the lack of correct size in stationarity test for PPP deviations within a linear framework. However, theoretically well motivated non-linear models, such as the ESTAR, appear to parsimoniously fit the PPP data and provide an explanation for the PPP 'puzzle'....