We estimate a time-varying regression model to study the relationship between returns in the Shanghai and New York stock markets, with possible inclusion of lagged returns. The parameters of the regressions reveal that the effect of the current stock return for New York on that for Shanghai...

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact of two modelling choices, namely the imposition of no-arbitrage...

This paper examines the spillover effects of announcements on quantitative easing (QE) conducted in developed economies on the Chinese Treasury yield curve. In spite of China's firewall of cross-boarder capital control, we find that the US QE announcements move the Chinese yield curve...