A recent addition to the ARCH family of econometric models was introduced by Ding, Granger and Engle (1993) wherein the power term by which the data is transformed was estimated within the model rather than being imposed by the researcher. This paper considers the ability of the Power GARCH...

The use of conditionally heteroscedastic models to model time varying volatility has become commonplace in the empirical finance literature. Ding, Granger and Engle (1993) suggested a model which extends the ARCH class of models to analysing a wider class of power transformations than simply...

The weekend effect is an empirical enomaly that has attracted substantial attention. Following the work of Connoly (1989) it is necessary to revisit previous empirical work. In this paper we examine the weekend effect in Malaysia over the period 1986-1993.

Linear regression models have been used in a number of studies examining the presence or absence of incremental information contents in cash flow. The results of these studies have not been consistent. This paper draws attention to the critical issue of extreme observations in the data. Extreme...

This paper extends the existing literature into the relationship between beta stability and the length of the estimation period. Specifically of our analysis in the use of powerful new econometrics tests and their application to non-US data, namely, Australian monthly stock returns.

This paper describes the innovative use of simulations in the teaching of finance at university level. It describes the use of live data in the simulations and the introduction of industry based systems into the tertiary system.

This paper analyses sub-national (State and Local) government spending in Australia at the determinants of State and Local expenditure in terms of its allocation within the public sector, that is, the functions to which this level of government devotes resources. The Quantitive analysis is...

International finance theory argues that integrated markets are priced using common information. In this study, we search twelve European Capital Markets for breakpoints in the way assets are priced and correlate these dates to events in each country. Our analysis shows that the events are...