The purpose of the paper is to evaluate the validity of purchasing power parity (PPP) for eight countries from the Emerging Europe: Hungary,Czech Republic, Poland, Romania, Lithuania, Latvia, Serbia and Turkey. Monthly data for euro and U.S. dollar based real exchange rate time series are...

This paper investigates whether daily stock price indices from fourteen emerging markets are random walk (unit root) or mean reverting long memory processes. We use an efficient statistical framework that tests for random walks in the presence of multiple structural breaks at unknown dates. This...

In this paper, we try to analyse the long-run relationship between the stock prices of emerging markets in the Europe, Middle East and Africa (EMEA) region and the US market. Our aim is to find out whether these markets provide opportunities for international diversification to US investors. We...

We consider tests for sudden changes in the unconditional volatility of conditionally heteroskedastic time series based on cumulative sums of squares. When applied to the original series these tests suffer from severe size distortions, where the correct null hypothesis of no volatility change is...

This paper aims to test for structural breaks and dynamic changes in emerging market volatility. We typically relate these issues to stock market liberalization since the latter is often considered as one of the most important forces that promote economic growth and rapid maturation of the...

This paper studies the Mexican stock market integration process. First, we estimate the time-varying Mexican degree of market integration using an international CAPM with segmentation effects. Second, we study the structural breaks in this series. Finally, we relate the obtained results to...

We consider tests for sudden changes in the unconditional volatility of conditionally heteroskedastic time series based on cumulative sums of squares. When applied to the original series these tests suffer from severe size distortions, where the correct null hypothesis of no volatility change is...

Designing an investment strategy in transition economies is a difficult task, because stock markets opened through time, time series are short, and there is little guidance how to obtain expected returns and covariance matrices necessary for mean-variance asset allocation. Moments of market...

This paper investigates the long-term financial integration and bivariate extreme dependence between Bovespa and the Istanbul Stock Exchange. While a static cointegration test presents no evidence of long-term cointegration, the introduction of a structural break into the model shows that...

Inflation rate targeting (IT) has recently become a popular monetary policy tool to fight inflation, in advanced as well as emerging market economies, by curtailing inflationary expectations. The evidence of IT's role in anchoring expectations is mixed. In this paper, the authors quantitatively...