Important financial risks facing the airline industry include interest-rate, currency and fuel-price risk. This paper estimates the exposure to these risks within the airline industry of Australia and New Zealand, using both linear and non-linear specifications, for a variety of horizon lengths....

This paper provides Australian evidence, obtained during unusual trading conditions, on put call parity theory. The empirical results show that observed violations of the theory are insufficient to indicate that economic profits can be derived therefrom after allowing for normal transaction...

Previous evidence suggests that the implied volatility from equity index options, as a measure of stock market uncertainty, can provide "forward-looking information" about the stock–bond return correlation. This paper uses an alternative regime-switching autoregressive model to characterize...

We document asymmetry in return and volatility spillover between equity and bond markets in Australia for daily returns during the period 1992-2006 using a bivariate GARCH modelling approach. Negative bond market returns spillover into lower stock market returns whereas good news originating in...