The paper forecasts conditional correlations between three classes of international financial assets, namely stock, bond and foreign exchange. Two countries are considered, namely Australia and New Zealand. Forecasting will be conducted using three multivariate GARCH models, namely the CCC model...

The benefits of investing internationally depend on three conditions, namely, cross-country correlations, market volatilities and future changes in currency risks (Odier and Solnik, 1993). This article investigates these conditions for several countries. Many papers have modelled both domestic...

This paper investigates regression quantiles(RQ) for unstable autoregressive models. This uniform Bahadur representation of the RQ process is obtained. The joint asymptotic distribution of the RQ process is derived in a unified manner for all types of characteristic roots on or outside the unit...

A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In both the conditional and stochastic volatility literature, there has been some confusion between the definitions of asymmetry and leverage. In this paper, we first show the...

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is a...

This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero diRerences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...

In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use of a combination of different models of risk. This idea is illustrated by analyzing the best empirical models of risk for five stock indexes before, during, and after the...

This paper gives an overview of socio-cultural, religious and political background of Pakistani society and examines the current status of women utilising data from Pakistan Fertility and Family planning Survey 1996-97. The low status of women is one of the many factors in Pakistani society,...

Pakistan has been experiencing rapid population growth since the second half of this century. The growth rate accelerated after the 1950s as a result of the decline in mortality coupled with sustained high fertility. The area constituting Pakistan had a population of 16.6 million in 1901, 33.7...