This paper investigates co-movement in eight Latin-American stock markets (Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, Peru, and Venezuela) using common factor analysis. The common factors are obtained using principal component analysis (PCA) and therefore account for the maximum...

This paper tests the existence of a risk premium in the one-month and three-month forward exchange markets.

This study looks at the time-varying nature of systematic risk in the Greater China equity markets. The Shanghai and Shenzhen markets both have a low average systematic risk when measured against the world market. The short outbursts in systematic risk for these two markets seem to be directly...

This paper tests the existence of a risk premium in the one-month and three-month forward exchange markets.

The random-walk hypothesis of asset prices suggests that prices traded in a market cannot be predicted based on historical information. Employing unsecuritized UK commercial property returns, we analyze this hypothesis. Our results uncover multiple changes in persistence in both aggregate and...

This study reviews the literature on volatility transmission in order to determine what we have learnt about the different methodologies applied. In particular, GARCH, regime switching and stochastic volatility models are analyzed. In addition, this study covers several concrete aspects such as...

This study reviews the literature on volatility transmission in order to determine what we have learnt about the different methodologies applied. In particular, GARCH, regime switching and stochastic volatility models are analysed. In addition, this study covers several concrete aspects such as...

It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution, and that the fat tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular ARCH and stochastic volatility models. We consider two...

It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution, and that the fat tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular ARCH and stochastic volatility models. We consider two...