This Paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime-switching behaviour and international spillovers across stock market indices. Using data for three major stock market indices since 1989,...

We investigate the dynamic relationship between the U.S. dollar exchange rate and its fundamentals across different exchange rate regimes using data from the late 1800s or early 1900s for six countries. For these countries there is evidence of a long-run relation between the exchange rate and...

This article examines empirically the dynamic relationship between spot and futures prices in stock index futures markets employing a class of nonlinear, regime‐switching‐vector‐equilibrium‐correction models, which is novel in this context. Using data for the S&P 500 and the FTSE 100...