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 G-7 countries over the January 1994 to April 2010. The empirical results indicate that PPP...

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...

This study applies a panel SURADF test with a Fourier function to investigate the properties of long-run purchasing power parity (PPP) in a sample of transition countries (i.e., Bulgaria, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, and Russia) between January 1995 and...

We analyze the possibility of nonlinear adjustment and unknown smooth breaks in the stationarity of real exchange rates in the Group of 20 (G-20) countries over a period from January 1994 to April 2010 by applying the Panel SURADF test with Fourier function. Although most of the results from a...

In this study, we applied a threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment on long-run purchasing power parity (PPP) in G-7 countries between January 1994 and April 2010. Although there was strong evidence of long-run PPP...