We examine the relationship between currency and commodity returns around the invasion of Ukraine in February 2022. We find that the expected positive contemporaneous relationship between currency and commodity returns reverses and becomes negative during this period of extreme geopolitical...

We present a model to forecast the probability of bear markets in the Spanish IBEX 35 with a congruent and concise parameterization which selects the explanatory factors from a wide set of variables like the yield curve of Spain, US and Europe, as well as several macro variables, and numerous...

This paper investigates the relationship between market integration and price convergence in international markets. Using a panel data set of consumer price indices (general and by groups and classes), we examine how European market integration has affected cross-country dispersion in the...

This paper examines the linkages between US and Latin American the stock markets during the 1995-2002 period using recently-developed cointegration techniques that allow for structural shifts in the long-run relationship. Our results suggest that, if we apply conventional cointegration tests, we...

In this paper we investigate the profitability of non-linear trading rules based on nearest neighbor predictors. Applying this investment strategy to the New York Stock Exchange, our results suggest that, taking into account transaction costs, the non-linear trading rule is superior to a...

In this paper we assess the economic significance of the nonlinear predictability of EMS exchange rates. To that end, and using daily data for nine EMS currencies covering the 1st January 1978-31st December 1994 period, we consider nearest-neighbour nonlinear predictors, transforming their...

This paper investigates the profitability of a simple and very common technical trading rule applied to the General Index of the Madrid Stock Market. The optimal trading rule parameter values are found using a genetic algorithm. The results suggest that, for reasonable trading costs, the...

In this paper we present new insights in the literature on the credibility of the Irish pound in the European Monetary System (EMS), adding value to the previous research, which has focused either on the correlation between Irish interest rates and Irish Pound/Pound Sterling exchange rate...

In this paper we assess whether some simple forms of technical analysis can predict stock price movements in the Madrid Stock Exchange. To that end, we use daily data for General Index of the Madrid Stock Exchange, covering the thirty-one-year period from January 1966-October 1997. Our results...

In this paper we assess the economic significance of the nonlinear predictability of EMS exchange rates. To that end, and using daily data for nine EMS currencies covering the 1st January 1978-31st December 1994 period, we consider nearest-neighbour nonlinear predictors, transforming their...