In this paper, I develop a new identification method to solve the problem of simultaneous equations, based on heteroskedasticity of the structural shocks. I show that if the heteroskedasticity can be described as a two-regime process, then the system is just identified under relatively weak...

In this paper, I develop a new identification method to solve the problem of simultaneous equations, based on heteroskedasticity of the structural shocks. I show that if the heteroskedasticity can be described as a two-regime process, then the system is just identified under relatively weak...

In this paper, the direction-of-dependence concept was introduced for analyzing asymmetric properties of stock markets. The simulation results indicated that US major stock markets had the leading of the world stock market before 2008. The situation changed after 2008 where the leading role was...