We consider a new class of time series models (introduced by Engle & Russell 1998) used in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of...

This paper extends prior research by jointly incorporating market indices, interest rates (both short- and long-term) and spot cross exchange rates, to investigate the relationship among seven Pacific-Rim (Australia, Hong Kong, South Korea, Malaysia, Singapore, Taiwan and Thailand) markets, to...