The Asian financial crisis spread its effect quickly across a number of countries. Korea faced serious problems in her financial and corporate sectors. This study considers the performance of Korean nationwide banks before and immediately after the Asian financial crisis. The performance of...

This paper establishes practical criteria for selecting amongst hypothetical data generating processes in cases where the series has long memory and exponential distribution which implies that the innovations have extremely fat tails.

The integration of financial markets across countries has modified the way prices react to news. Innovations originating in one market diffuse to other markets following patterns which usually stress the presence of interdependence. In some cases, though, covariances across markets have an...