The aim of this paper is to present a method able to graphically describe the amount of structure in a time series. In the following, 'structure' is defined as the extent to which a time series is either trending or mean-reverting (that is showing pockets of positive as well as negative...

This paper extends the Murray and Papell (2002) study by using a non-parametric bootstrap approach which allows for non-normality, and focusing on quarterly real exchange rate in twenty OECD countries in the post-1973 floating period. Augmented Dickey-Fuller (ADF) regressions were run, and the...

This study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order to capture the effect, a block recursive VAR model is built, allowing that S&P500 affects the ISE returns with its current and lag values but not vice versa. The estimates from...

The present study deals with the fact that it seems as if executive boards have developed a self-service-mentality concerning the corporations they are meant to manage. The surprise about this is not the attempt of exploitation (rather the opposite would be surprising from an economic point of...

Empirical results for the United States show that the credit risk premium leads the stock market by up to four weeks. They are robust across different stock market measures, empirical methods and sample periods. The finding of a flight to quality that first occurs in the corporate bond and...

This paper underlines the relevance of considering breaks in Purchasing Power Parity (PPP) tests, by studying the floating peseta over the period 1870--1935. In some cases, only the stationarity of the real exchange rate in the presence of structural breaks could be accepted. Moreover, breaks...

This study analyses the impact of the 1997 economic crisis on the dynamic relationship between the interest rate and inflation rate in Korea using the cointegration test and the spectral analysis method. The findings show that, at some point in 1997, the direction of long-term lead-lag movement...

This paper investigates the size properties of a test for contagion based on an asymptotic t -distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the...

Event study analysis is a common methodology used in marketing to evaluate the impact of specific marketing activities. This study examines the impact of sponsorship announcements on the stock prices of sponsoring firms by using event study analysis. Due to the problem of non-normality on...

Using recursive and rolling estimation evidence is reported that STAR non-linearity is ever present within the DJIA. Further, the parameters of interest exhibit some temporal dependence. These results suggest that non-linearity is a regular feature of the data that should be modelled and used in...