In this article, the nonparametric threshold autoregressive model for the Covered Interest Rate Parity (CIP) deviation is proposed. We provide a threshold estimation under the general equilibrium framework. The Keynes-Einzig conjecture based on market observation is verified. Within thresholds,...

This article investigates the impact of the introduction of the euro on the interactions across the New York, London, Frankfurt and Paris stock markets. After controlling for possible returns and volatility spillovers, we focus on the correlations of shocks using the framework of Dynamic...