This paper employs Rescaled-range analysis; the Correlation Dimension test, and the BDS test, to analyze lengthy daily time series of financial data. Two equity and two commodity indices are examined. The results reject the hypothesis that the series are purely random, independent and...

We examine the evidence of an emerging yen block in North and Southeast Asia using up to 27 years of weekly data on 9 bilateral yen exchange rates. The exchange rate returns are modelled in response to variations in their US dollar, German mark, and UK pound effective counterparts using a...

Using daily data for a select set of four Asian exchange rates, namely the Hong Kong dollar, the Singapore dollar, the Taiwan dollar and the Thailand baht, from October 1985 to October 2002, we apply principal components analysis and the O-GARCH model to describe the evolution and persistence in...

We examine correlation dynamics using daily data from 1993 to 2002 on the 5 largest euro-zone stock market indices. We also study, for comparison, the correlations of a sample of individual stocks. We employ both unconditional and conditional estimation methodologies, including estimation of the...

We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation between the first three moments of market returns and trading volumes. Our...