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Structural breaks in volatility : the case of UK sector returns

McMillan, David G.; Wohar, Mark E. - In: Applied financial economics 21 (2011) 13/15, pp. 1079-1093

Persistent link: https://www.econbiz.de/10009317435

Common stochastic trends in international stock prices and dividends : an example of testing overidentifying restrictions on multiple cointegration vectors

Engsted, Tom - In: Applied financial economics 7 (1997) 6, pp. 659-665

Persistent link: https://www.econbiz.de/10001240790

Forecasting UK stock prices

Jung, Chulho - In: Applied financial economics 6 (1996) 3, pp. 279-286

Persistent link: https://www.econbiz.de/10001202670

Empirical evidence on the time-series behaviour of stock and bond prices in the inter-war period

Peel, David - In: Applied financial economics 3 (1993) 1, pp. 15-20

Persistent link: https://www.econbiz.de/10001145272

Short- and long-term links among European and US stock markets

Gerrits, Robert-Jan; Yüce, Ayse - In: Applied financial economics 9 (1999) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10001363833

Structural breaks in the real exchange rate adjustment mechanism

Copeland, Laurence S.; Heravi, Saeed M. - In: Applied financial economics 19 (2009) 1/3, pp. 121-134

We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterized by structural breaks, which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition Autoregression (TV-STAR) of the kind introduced by Lundbergh et al....

Persistent link: https://www.econbiz.de/10003825837