Vector autoregressive models are increasingly being used in the analysis of relationships within and between financial markets. In such models, there are circumstances that require zero entries in the coefficient matrices. Such circumstances can be particularly relevant in the context of markets...

In recent years the application of kernel smoothing methods in nonparametric regression framework to financial time-series analysis has become widespread. Kernel smoothing methods have not been applied, however, to a wide range of problems arising in time-series simulations and forecasting....

Since its introduction on 1 January 1999, the Euro has become the second most widely traded currency, behind the US Dollar and ahead of the Japanese Yen. Over the first three years of 1999-2001, the weakness of the Euro was a significant feature of foreign exchange markets. The Euro's weakness...

With the introduction on 1 January 1999 of the European single currency, the Euro has become the second most widely used currency at the international level, behind the US dollar and ahead of the Japanese yen. However the scenario for a strong Euro has yet to eventuate.Over the test period...