Recent studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude. This paper uses daily data from the Hong Kong Stock Exchange to illustrate the nature of stock market volatility. Regression-based tests for integration in...

Recent studies suggest that the term premia within the US Term Structure of Interest Rates may be adequately characterized as univariate GARCH(1, 1)-M processes, with highly persistent or even potentially explosive conditional variances. Tzavalis and Wickens (Economics Letters, 49, 1995) using...

Recent empirical studies suggest that long horizon stock returns are forecastable. While this phenomenon is usually attributed to time varying expected returns, or speculative fads, it may also be due to long memory in the returns series. Long range dependence is investigated using parametric...

This paper applies the Switching ARCH (SWARCH) model of Hamilton and Susmel (1994) to investigate the dynamics of deviations from Uncovered Interest Parity (UIP) for Malaysia for the sample period 1978-2002. In particular, the deviations (or the risk premium) are modelled as a time series...