This paper models dynamic correlations between the Asian stock market returns and studies their behaviour over the period before, during and after the Asian financial crisis, which occurred in the 1990s. To establish the presence of contagion effect, this paper investigates whether or not there...

In order to better understand the economy and conduct policy analysis, both econometricians and decision makers are interested in effective inferences using econometric models. Because of the complexity of economic data, econometricians heavily rely on asymptotic theory when making statistical...

We know very little about the performance of point optimal (PO) and approximate point optimal (APO) tests in the presence of unavoidable nuisance parameters. Because marginal likelihood based tests are said to perform well in the presence of unavoidable nuisance parameters, this paper compares...

Direct investment in commercial or residential real estate is found to provide valuable diversification benefits for Australian investors though this is not so evident for indirect real estate investment vehicles like listed Australian real estate investment trusts (A-REIT). Further,...