This paper deals with the interrelations between stocks listed and traded in two international unsynchronized markets. The data exhibits first order nonstationarity and the series across markets are cointegrated. This gives a justification for an error correction model which incorporates a short...

The literature on the role of duration and convexity in managing the interest rate risk of fixed-income contracts is concerned primarily with single-currency domestic applications. The dominant view appears to be that fixed-income risk management in the international setting involves a mere...