By analysing the Dynamic Conditional Correlations (DCC) of the daily stock returns of four OECD countries with that of the US for the period 2006--2010, we could find a process of increasing correlations (contagion) in the first phase of the US financial crisis and an additional increase of...

We find nonlinear mean reverting tendencies in Southeast Asian currencies by applying the newly developed nonlinear unit-root test by Park and Shintani (2005). First, with the US dollar as the numeraire currency, we find that 63% of the real exchange rates of Southeast Asian currencies turn out...