Cyclical asymmetry has been recognised as a nonlinear phenomenonin recent studies examining unemployment rate time series. In this paper we use a number of established and new tests for identifying nonlinearities of the bilinear (BL), exponential autoregressive (EXPAR), smooth transition...

This paper investigates whether the ex-dividend drop-offs for ADRs differ from the ex-dividend drop-offs of their underlying Australian stocks. An expected source of difference in the valuation of dividends, and hence in the drop-offs, is the availability of imputation tax credits to Australian...

Prices in spot and futures markets are contemporaneously related according to the theoretical Cost-of-Carry (COC) model. In the literature, on the other hand, futures index price changes are usually found to lead spot index prices changes by up to forty-five minutes. This empirical evidence,...

This study builds and analyses a dynamic economic model which relates the cost of using a genetically superior sire from outside a base herd to increase the levels of genetic merit of the breeding females and their progeny within that herd. The questions of interest are the optimal length to...

In this paper we develop a theoretical model to explain raw returns and abnormal returns. We show that returns can be explained in terms of levels and changes in earnings and dividends. This contrasts with empirical work which typically uses only a subset of these variables. The model also...

In this paper we have tested for evidence of nonlinear structure in Australian asset returns including those of real estate and investment trusts, stock market indicies and returns for listed real estate companies. While some of our test procedures are designed to test for nonlinear...

Cyclical asymmetry has been recognised as a nonlinear phenomenon in numerous recent studies examining various economic and financial time series. If the nonlinear phenomena can be modelled by a nonlinear stochastic structure like the bilinear (BL), exponential autoregressive (EAR), smooth...

In this paper we have tested for evidence of nonlinear structure in United Kingdom asset returns including those of real estate and investment trusts, stock market indices and returns for listed real estate companies. While some of our test procedures are designed to test for nonlinear...

Asymmetry in the business cycle has been recognised as a nonlinear phenomenon by a number of recent studies which have examined unemployment rate series in North America, Europe and Australia. While many of these studies hypothesise that linear modelling techniques are inadequate for modelling...

Modelling and forecasting the volatile spot pricing process for electricity presents a number of challenges. For increasingly deregulated electricity markets, like that in the Australian state of New South Wales, there is need to price a range of derivative securities used for hedging. Any...