The expectations hypothesis of the term structure of interest rates is tested using monthly Eurodollar deposit rates for maturities 1, 3 and 6 months covering the period 1983: 1996:6.Whereas classical regression-based tests indicate rejection, tests based on a new model allowing for potential...

According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can be described as unit root processes.These results imply that nominal interest rates and expected inflation do not move one-for-one in the long run, which is not consistent with...

We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market.As a case study we use the...