In this paper, performance of the KPSS tests of Kwiatkowski et al. (Journal of Economics, 54, 159-78, 1992) and the generalized fluctuation tests (GFL) of Kuan and Hornik (Economic Reviews, 14, 135-61, 1995) and Kuan (Journal of Econometrics, 84, 75-91, 1998) are investigated for the null of...

Using the Stochastic Permanent Breaks (STOPBREAK) model, this study examines the relationships of the US stock market with the Japanese and eight European stock markets. The evidence indicates that the US stock market is temporally cointegrated with the markets in Japan, Germany, Netherlands and...

Volatility changes before and after a major event cannot be effectively modelled without considering the impact of other events during the sample period. This paper reexamines the impact of settlement time changes on the volatility change in the Shanghai and Shenzhen Stock Exchange by Li et al....

The essence of fractal analysis is seeking for a pattern that is independent of scale. This paper examines the existence of long-term memory in nine Asian stock markets together with US and UK indices using the modified rescaled-ranged (R/S) statistic. The modified R/S statistic is robust not...