This article aims to study the issue of short- and long-term stock market integration in two of Latin America's biggest emerging economies - Mexico and Argentina - with the US stock market using multivariate cointegration tools. Our study covers a period of two decades and shows strong evidence...

We analyse the time variations in the comovements of Latin American stock markets. Conditional correlations are estimated from the dynamic conditional correlation GARCH model. Then, Bai and Perron's (2003) structural break technique is employed to test for changing nature of market comovements....

In this paper two characteristics a priori contradictory and yet coexistent in the daily returns of exchange rate euro/US dollar are drawn. The non-stationarity of the covariance structure of the series is shown and, after the extraction of the unstable variance using the algorithm based on the...

This paper addresses the issue of estimating the number of breaks and their locations in the monthly US inflation series using two different approaches to testing for structural changes. The first approach considers Bai and Perron's selection procedure based on a sequence of tests. This approach...

The empirical evidence of the instability based on some selection procedures is explored. The focus is on the problem of choosing the number of structural breaks and their locations for the US inflation series. The obtained results give reason for thinking that they are very significant since...

This article aims to explore the most important sources and implications of the current international financial downturn, while analyzing and discussing a recently published book on finance by Professor Michel Aglietta, written in 2008, in which the author expands on the sources of the current...