This study examines the long-run price relationship and the dynamic price transmission among the U.S., Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long-run price...

This study examines the long-run price relationship and the dynamic price transmission among the U.S., Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long-run price...

This study examines the relationship between expected stock returns and volatility in the twelve largest international stock markets during January 1980 - December 2001. Consistent with most previous studies, we find a positive but insignificant relationship during the sample period for the...

This paper reviews various forecast methods including combination using theoretically optimal weights and those under model selection approaches. In addition, we suggest two modified simple averaging forecast combination methods—a mean corrected and a mean and scale corrected method. We...

We consider several geometric approaches for combining forecasts in large samples—a simple eigenvector approach, a mean corrected eigenvector and trimmed eigenvector approach. We give conditions where geometric approach yields identical result as the regression approach. We also consider a...