This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...

Using smooth transition regression model analysis, we examine the non-linear predictability of Japanese and US stock market returns by a set of macroeconomic variables between 1981 and 2012. The theoretical basis for investigating non-linear behavior in stock returns can be based on the...

This study assess the effect of corruption on the occurrence of banking crisis for a sample of 38 countries over the period 2000 – 2017. We consider both the direct and the indirect channels through which corruption might affect the occurrence of banking crisis. We also check using a threshold...