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...

In recent years the application of kernel smoothing methods in nonparametric regression framework to financial time-series analysis has become widespread. Kernel smoothing methods have not been applied, however, to a wide range of problems arising in time-series simulations and forecasting....

Vector autoregressive models are increasingly being used in the analysis of relationships within and between financial markets. In such models, there are circumstances that require zero entries in the coefficient matrices. Such circumstances can be particularly relevant in the context of markets...

Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Specifically, in tests of indirect causality...

With the introduction on 1 January 1999 of the European single currency, the Euro has become the second most widely used currency at the international level, behind the US dollar and ahead of the Japanese yen. However the scenario for a strong Euro has yet to eventuate.Over the test period...

Asia-Pacific stock markets with strong growth deriving from the information and communications technology (ICT) revolution are seeking to become a more integrated stock market. But some currencies and stocks in these markets are excessively volatile. Billions of dollars have been invested in...

Since its introduction on 1 January 1999, the Euro has become the second most widely traded currency, behind the US Dollar and ahead of the Japanese Yen. Over the first three years of 1999-2001, the weakness of the Euro was a significant feature of foreign exchange markets. The Euro's weakness...