In recent years there has been an increased interest in the extent to which managers can improve their property portfolio position through international diversification. Much of this interest has centred on the use of various statistical/econometric tests of time-varying correlations and...

Purpose ? To develop an integrated approach to forecasting spot foreign exchange rates by incorporating some principles underlying long-term dependence.Design/methodology/approach ? The paper utilises the random-walk framework to develop a stochastic forecast model wherein the sign (positive or...

An important assumption underlying traditional theories of financial time-series behaviour is that consecutive changes in the price of an asset (ie. asset returns) are independent of each other. For analysts seeking to predict the future value of an asset, this implies that the best step-ahead...

Purpose – The principal rationale for this study is to investigate the implications of the introduction of radio frequency identification (RFID) tagging on suppliers. Emphasis concerns the impact it is likely to have on suppliers to the UK grocery retail market. Design/methodology/approach –...

Background: Many general practitioners (GPs) are concerned about the increasing dominance of economic issues in major decisions about clinical care, and feel their opinions on economic matters have not been heard. It is unclear whether this information has any impact on everyday clinical...

This paper will attempt to provide a comprehensive review and introduce the concept of international financial integration. In addition, it provides a review on the available indicators used as proxies for international financial integration in empirical studies. It also proposes a more detailed...

Traditional models of financial asset yields are based on a number of simplifying assumptions. Among these are the primary assumptions that changes in asset yields are independent, and that the distribution of these yields is approximately normal. The development of financial asset pricing...

This paper examines whether the firm-level and the industry-level cross-sectional volatility (CSV) contains any incremental information about the future market-level volatility in Australia. We analyze daily equity returns data from 2 January 1992 to 31 May 2004. Using a conditional volatility...

This paper focuses on the dynamics of international financial integration for a set of 13 industrial countries including Australia over the period 1990 to 2003 by analysing data on the level and composition of foreign assets and liabilities. The objective of the study is to provide insights into...

The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in the local Hurst exponent may be due to either a...