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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

Are international equity markets really asymmetric

Kearney, Colm; Lynch, Margaret - In: Applied financial economics 17 (2007) 4/6, pp. 399-411

Persistent link: https://www.econbiz.de/10003446047

On the exploitability of the turn-of-the-month effect : an international perspective

Zwergel, Bernhard - In: Applied financial economics 20 (2010) 10/12, pp. 911-922

Persistent link: https://www.econbiz.de/10009009804

Heterogeneous behaviours and the effectiveness of central bank intervention in the yen/dollar exchange market

Kao, Chung-Wei; Wan, Jer-Yuh - In: Applied financial economics 22 (2012) 10/12, pp. 967-975

Persistent link: https://www.econbiz.de/10009625570

Explaining ther persistence of deviations from PPP : a non-linear Harrod-Balassa-Samuelson effect?

Sager, Michael - In: Applied financial economics 16 (2006) 1/2, pp. 41-61

Persistent link: https://www.econbiz.de/10003291782

Cointegrating behaviour between spot and forward exchange rates

McMillan, David G. - In: Applied financial economics 15 (2005) 16, pp. 1135-1144

Persistent link: https://www.econbiz.de/10003213501

Third country news in the monetary model of the exchange rate

Jackson, John D.; Thompson, Henry; Zheng, Juliet - In: Applied financial economics 15 (2005) 11, pp. 757-764

Persistent link: https://www.econbiz.de/10003016838

Approriate lag specification for daily responses of international stock markets

Tsutsui, Yoshirō; Hirayama, Kenjiro - In: Applied financial economics 14 (2004) 14, pp. 1017-1025

Persistent link: https://www.econbiz.de/10002377754

Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?

Jiang, Christine X.; Chiang, Thomas C. - In: Applied financial economics 10 (2000) 1, pp. 95-104

Persistent link: https://www.econbiz.de/10001525818

Using a VECM to test exogeneity and forecastability in the PPP condition

Norrbin, Stefan C. - In: Applied financial economics 7 (1997) 1, pp. 87-95

Persistent link: https://www.econbiz.de/10001219233