This paper examines whether the monetary exchange rate model represents a long-run relationship among nominal exchange rates, money supplies, interest rates and real incomes of five countries that participate in the ERM. Cointegration tests are conducted using the method suggested by Johansen...

This paper examines the issue of volatility spillovers across the three largest European stock markets, namely London, Frankfurt and Paris. The Exponential Generalized Autoregressive Conditional Heteroscedasticity model is used to capture potential asymmetric effects of innovations on...

The paper employs the multivariate trace statistic P-super-ˆz, the Johansen method, and the recently proposed Bierens nonparametric approach to test for pairwise cointegration between the US and each of the six largest European equity markets, namely those of the UK, Germany, France,...