This paper aims to explore the effects of the ECB monetary policy on the Euro area yield curve. Using cointegration techniques, this paper investigates the long-run relationships among the EONIA and Euro area money market interest rates. Results show that presence of cointegration was rejected...

This paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these markets while the Gregory-Hansen...

This paper explores the forecasting performance of several non-linear models, namely GARCH, EGARCH, APARCH, which further utilize three distributions, namely the Gaussian normal, the Student-t and Generalized Error Distribution (GED). In order to evaluate the performance of the competing models...

This paper investigates whether the South-Eastern European (SEE) stock markets of Bulgaria, Croatia, Romania, Slovenia and Turkey are integrated with their developed counterparts in Germany, the UK and the USA. Using static cointegration analysis, we find that the SEE markets are cointegrated...

The aim of this article is to investigate the Efficient Market Hypothesis (EMH) for the Association of Southeast Asian Nations’ (ASEAN) stock markets for the period January 2000 to April 2011. We test whether these markets are efficient individually and collectively using a number of...

This paper aims to explore links between the Indian stock market and three developed Asian markets (i.e. Hong Kong, Japan and Singapore) using cointegration methodologies in order to explore interdependence. We further estimate the time-varying conditional correlation relationships among these...

This paper explores the forecasting performances of several non-linear models, namely GARCH, EGARCH, APARCH used with three distributions, namely the Gaussian normal, the Student-t and Generalized Error Distribution (GED). In order to evaluate the performance of the competing models we used the...

This paper aims to explore links between the Indian stock market and three developed Asian markets (i.e. Hong Kong, Japan and Singapore). The index prices are non-stationary so we used cointegration methodologies in order to explore interdependencies. Johansen methodologies reject the hypothesis...

This paper has two main objectives. First, it compares several Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family models in order to model and forecast the conditional variance of German, Swiss and UK stock market indexes. Results obtained reveal that all GARCH family...