In this paper we examine the international transmission of the 1997 South East Asia financial crisis. We estimate a bivariate GARCH-BEKK model, and carry out LR tests for causality-in-variance with bootstrapped critical values. Three pairwise models are estimated for US, European, Japanese and...

This paper examines the dynamic interactions between mutual fund flows and security returns in an emerging capital market, namely the Greek one. It adopts a testing strategy not requiring pre-testing (which might generate severe biases) but simply augmenting the system (Toda and Yamamoto, 1995,...

This paper investigates whether the structure of product markets in the industrial economies conforms to the assumptions of the two main benchmark models of international macroeconomics, namely the one-sector imperfect-substitutes model, and the two-sector model with non-traded goods. Our...

This paper focuses on first-order autoregressive models in which the noise variance increases without bound. Although this specification violates a standard assumption made in the relevant literature, namely that of bounded noise variance, it is proved that the well-known Eicker-White estimator...

In this paper we provide some empirical evidence on the casual relationship between stock prices and exchange rates volatility in four East Asian countries. In order to test for causality-in-variance, we use a GARCH model for which a BEKK representation is adopted, and then test for the relevant...