Shiller (1990) hypothesises that the positive feedback mechanism in financial markets may exhibit longer memory in the sense that feedback may operate over long time intervals. This paper tests the Shiller hypothesis using data from major index futures markets. The analysis is based on a...

Despite the growing evidence that speculative assets have time-varying variances and covariances, risk management techniques have not exploited this potentially useful property. This article proposes a dynamic risk management (hedging) model that takes advantage of time dependencies present in...

This paper investigates the interdependence of stock price changes and exchange rate changes. More specifically, it examines the impact of past currency appreciations and depreciations on the price as well as the volatility of stocks. Similarly, it investigates the influence of past stock price...