This paper examines the linkages between the stock markets in Asia during the 1977-1999 period using recently-developed cointegration techniques that allow for structural shifts in the long-run relationship. Our results suggest that, if we apply conventional cointegration tests, we do not find...

This paper examines the linkages between US and Latin American the stock markets during the 1995-2002 period using recently-developed cointegration techniques that allow for structural shifts in the long-run relationship. Our results suggest that, if we apply conventional cointegration tests, we...

In this paper we quantitatively explore the role of immigration in the evolution of housing prices in Spain and its autonomous regions for the period 1995-2007. We use estimations of an inverted model for housing demand with and without immigrant flows. The results we have obtained suggest that...

We propose a new test to detect chaotic dynamics, based on the stability of the largest Lyapunov exponent from different sample sizes. This test is applied to the data used in the single-blind controlled competition tests for nonlinearity and chaos that were generated by Barnett et al. (1997),...

In this paper we provide some new evidence on the credibility of the ERM. Our paper differs from the previous literature in three main respects. First, its main contribution is the use of several credibility indicators, some of them never been applied before to all the currencies under study....

This paper investigates the profitability of a simple and very common technical trading rule applied to the General Index of the Madrid Stock Market. The optimal trading rule parameter values are found using a genetic algorithm. The results suggest that, for reasonable trading costs, the...