This paper investigates the stability of Australian ex ante real interest rates for a range of maturities. Both ex ante real and nominal interest rate series are found to be nonstationary even after following for the possibility of structural breaks using techniques developped by Zivot and...

In this paper, we develop alternative models to price derivative securities when the underlying asset may be subject to jumps. These models allow for two kinds of jumps: scheduled jumps which are caused by information for which the disclosure data is known in advance (e.g. earnings...

This paper examines causality between the series of returns ans transaction volumes in high frequency data. The dynamics in both series is restricted to transitions between a finite umber of stated. Depending on the state selection criteria, this approach approximated the dynamics of varying...

In this paper we test for deterministic chaos(i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas hydrocarbon markets, using monthly data from 1985:1 to 1996:12 -- the markets are those of ethane, propane, normal butane, iso-butane, naphta, crude oil, and...