The nonparametric cointegration method of Breitung (2002) is applied to test for the forward rate unbiasedness hypothesis (FRUH) using monthly data of the US dollar vis-à-vis two major currencies viz. the British pound and the Canadian dollar over the period spanned from 1973 to 2002. The...

This study blends the simplicity and empirical success of univariate GARCH processes with an easy to estimate and interpret dynamic correlation estimator. A two step estimator and a simple test are employed to verify the null of constant correlation against an alternative of dynamic conditional...

This study analyses the use of cash as an asset class by professional funds managers and compares the returns generated over time by these fund managers with a direct investment in three 'risk free'; interest rate securities -- overnight cash, a 180 day bank bill and a medium term Commonwealth...