This study investigates the cross-market interdependence among Asia-Pacific countries through dynamic herding spillover by using the structural change model of Bai and Perron (1998, 2003) from 2007-2022. The countries selected for the study are China, Japan, South Korea, India, the US, and...

This paper investigates the stationarity of the Federal Funds Rate. It contributes to the existing empirical literature in two ways. First, it explores both the presence of unit root and structural changes in the federal funds rate monthly data, by allowing for interaction between these two...

This paper is a contribution in exploring the empirical evidence of the instability in the tail behaviour returns of stock market indices, based on some developments in the analysis of structural change models. The proposed approach can jointly determine the number of structural breaks in a...