This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

This paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas. In particular, several copulas with different dependence structure are compared and used to directly model the underlying dependence structure. We find that there exists...

In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...

This article examines the price discovery function around releases of macroeconomic announcements to explore the informational efficiency of prices in a 24-hour trading platform. We study the contribution to price discovery of four periods of trading, including the Asian, European, European-U.S....

This paper examines the relationship between currency option's implied skewness and its future realized skewness, where the difference is known as the skewness risk premium (SRP). The SRP indicates whether investors pay a premium to be insured against future crash risk. Past investigations about...

This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis...

This paper started from moving average method. After finding that the physical meaning of moving average is somehow not clear, this paper modified the moving average and proposed a new model called volume weighted moving average (VWMA).The VWMA model has been applied to mainland China's stock...

Brazil is the largest stock market in South America, whereas Argentina is one of the smallest. Nonetheless, the most important stock indices representing these markets (the Brazil Bovespa and the Argentinian Merval) are highly correlated with two-way Granger causality. This feature facilitates...

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...