A casual inspection of a graph of volatility indexes over time indicates that volatility has undergone infrequent, but significant, shifts in its average level. The purpose of this article is to test for multiple structural breaks in the mean level of market volatility measured by the VIX and...

This paper examines the restrictions required for real interest rate parity to hold. Employing the multivariate cointegration procedure, allowances are made for exogenous events (such as oil price shocks and currency realignments within the EMS) which may have disturbed any underlying long-run...