This study supplements previous regime-switching studies on WTI crude oil and finds two possible volatility regimes for the strategic commodity prices of Brent oil, WTI oil, copper, gold and silver, and the S&P 500 index, but with varying high-to-low volatility ratios. The dynamic conditional...

Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...

This article draws on a variety of time series tools to more deeply explore issues surrounding the emergence of a national capital market in the late 19th century. Our focus is on the timing of the emergence of a national capital market. Rather than relying on the absolute narrowing of regional...

It is a well-accepted empirical result that forward exchange rate unbiasedness is rejected in tests using the "differences regression" of the change in the logarithm of the spot exchange rate on the forward discount. We model the forward discount as an AR(1) process and argue that its...

This article revisits the key issue raised by researchers who have empirically investigated the behaviour of short term US interest rates during the period 1890-1933. The seminal article of Mankiw, Miron and Weil (1987) argues that changes in the behaviour of nominal interest rates is best...

We explore the possibility of structural breaks in realized volatility with observed long-memory properties for the daily Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rate realized volatility. We find that structural breaks can partly explain the persistence of realized...