This article examined the interaction between stock price and exchange rate and explored their dynamic correlation influenced by the stock market volatility. We used newly developed Smooth Transition Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (STCC-GARCH)...

This study uses the newly developed Fourier unit root test advanced by Enders and Lee (<CitationRef CitationID="CR10">2004</CitationRef>, <CitationRef CitationID="CR11">2009</CitationRef>) to investigate the time-series properties of real GDP (Gross Domestic Product) for five Southeastern European countries for the period from 1969 to 2009. The empirical results from several...</citationref></citationref>

This study applies a newly developed Autoregressive Distributed Lag (ADL) test for threshold cointegration, proposed by Li and Lee (2010) to test the validity of long-run Purchasing Power Parity (PPP) for a sample of East Asian countries from January 1986 to October 2009. Empirical results...

This study applies a simple and powerful nonlinear unit root proposed by Sollis (2009) to test the validity of long-run Purchasing Power Parity (PPP) in G-7 countries over the period January 1980 to September 2008. The empirical results indicate that PPP holds true for all G-7 countries, with...