We investigate the finite sample behaviour of the ordinary least squares (OLS) estimator in vector autoregressive (VAR) models. The data generating process is assumed to be a purely nonstationary first-order VAR. Using Monte Carlo simulation and numerical optimization we derive response surfaces...

The aim of this thesis is to analyse theTelationship between the exchange rate andstockmarket, in the UK, USA, Germany, Japan, Canada and the Netherlands over theperiod 1974 to 1994. It is motivated by recent changes in the international financialenvironment, particularly the gradual removal of...