In this paper, we investigated changes in the linkages between capital markets by applying the threshold vector autoregressive (TVAR) models to the stock returns of the US and of four East-South Asian markets. We employed the estimating and testing procedures proposed by Tsay (1998) and Hansen...

This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight Asian markets and the US. We find crossborder spillovers in returns to be nonexisting, spillovers in absolute returns between Asia and the US to be strong in both directions,...

In this paper we investigate how high frequency trading affects technical analysis and market efficiency in the foreign exchange (FX) market by using a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm. We use this approach for real one-minute high...