This paper reports on the result of a Monte Carlo study. The latter investigates the performance of various versions of the Conformity test (CCT) for the existence and rank of cointegration, as given in Johansen (J) (1988), (1991), and the stochastic trends qf(k,m) test (SW), as given in Stock...

In this paper we explore the extent of exchange rate pass-through for the USA, UK and Japan using a post-Bretton Woods industry-level dataset. We investigate how different channels of exchange rate pass-through affect domestic and import prices. Our analysis is suggestive of two channels of...

Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series properties of the realized volatility series and on...

We show that incorporating the effects of exchange rate pass-through into a model can help in obtaining superior forecasts of domestic, industry-level inflation. Our analysis is based on a multivariate system of domestic inflation, import prices and exchange rates that incorporates restrictions...

The effects of scheduled macroeconomic announcements on the real‐time intraday return volatilities, covariances, and correlations between the Eurodollar futures and the U.S. Treasury bond futures markets are studied. These announcements are responsible for most of the observed intraday jumps...

In this study building on earlier work on the properties and performance of the univariate Theta method for a unit root data‐generating process we: (a) derive new theoretical formulations for the application of the method on multivariate time series; (b) investigate the conditions for which...