With the development of international financial market, the degree of international financial integration increased significantly during the late 1980s and 1990s. A key factor underlying this process was the increased globalization of investments seeking a higher rate of return and the...

Statistical filter researchers for time-series systems are often concerned that the coefficients of their established filters may not be constant over time, but vary when the filters are disturbed by changes arising from outside environmental factors. This concern has motivated researchers to...

This comment letter was submitted to the U.S. Treasury Department in connection with that Department's review of proposals for changes in the regulatory structure for financial institutions. The comment letter presents the following policy recommendations: (1) the thrift charter should be...

In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Z^n. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes which is able to pick up the complex nonlinear dynamics...

In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the...

We seek for verification and explanation of arbitrage between securities of dual-listed Brazilian-based companies which are simultaneously traded on the Brazilian and the US stock markets. Following the extant literature, our underlying hypothesis is that arbitrage events can be explained by...

In this paper, we investigate how investment banks determine the gross spreads paid by American Depositary Receipts (ADRs) during 1981 to 2004. We then compare the gross spreads of ADRs to those of matching U.S. IPO and SEO firms to see if there are differences in gross spreads across types of...

This short paper discusses the factors affecting corporate communication of stock exchanges including globalization, competition and regulation. Next, it discusses some corporate communications strategies used by three diverse exchanges, namely; Toronto, Hong Kong and Warsaw. The paper then...

This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for...