The relationship between trading volume and volatility in foreign exchange markets continues to be of much interest, especially given the higher than expected volatility of returns. Allowing for non-linearities, this paper tests competing hypotheses on the possible relationship between...

ABSTRACTThis paper extends the ‘remarkable property’ of Breusch (Journal of Econometrics 1987; <b>36</b>: 383–389) and Baltagi and Li (Journal of Econometrics 1992; <b>53</b>: 45–51) to the three‐way random components framework. Indeed, like its one‐way and two‐way counterparts, the three‐way random...

This study investigates the relation between petroleum futures spread variability, trading volume, and open interest in an attempt to uncover the source(s) of variability in futures spreads. The study finds that contemporaneous (lagged) volume and open interest provide significant explanation...

This paper uses both linear and nonlinear causality tests to reexamine the cross-autocorrelation between the returns on large and small firms. Consistent with previous results, we find that large firms lead small firms, but small firm autocorrelation, nonsynchronous trading, or a differential...

This article is interested in the management of a natural forest. The main objective is the analysis of the efficiency of the exploitation model by individual transferable quotas with overlapping generations, capital, and monetary legacy. A general equilibrium model including some realities of...

Using an improved statistical methodology including tests designed for heterogeneous panels, this paper tests for mean reversion in monthly US Dollar based real exchange rates for nine East Asian countries, including those that were severely affected by the 1997 Asian financial crises. The...

Abstract: This paper empirically tests purchasing power parity (PPP) using panel unit root designed for heterogeneous panels. Monthly data of six East Asian countries (South Korea, Thailand, Indonesia, Malaysia, Singapore and the Philippines) were used to test the long-run PPP relationship. This...

Abstract: This paper empirically tests purchasing power parity (PPP) using panel unit root designed for heterogeneous panels. Monthly data of six East Asian countries (South Korea, Thailand, Indonesia, Malaysia, Singapore and the Philippines) were used to test the long-run PPP relationship. This...