This study investigates long-term linear and nonlinear causal linkages among eleven stock markets, six industrialized markets and five emerging markets of South-East Asia. We cover the period 1987–2006, taking into account the on-set of the Asian financial crisis of 1997. We first apply a test...

We propose a nonlinear time series model where both the conditional mean and the conditional variance are asymmetric functions of past information. The model is particularly useful for analysing financial time series where it has been noted that there is an asymmetric impact of good news and bad...

In this paper two kernel-based nonparametric estimators are proposed for estimating the components of an additive quantile regression model. The first estimator is a computationally convenient approach which can be viewed as a viable alternative to the method of De Gooijer and Zerom (2003). By...

TThis study investigates long-term linear and nonlinear causal linkages among eleven stockmarkets, six industrialized markets and five emerging markets of South-East Asia. We cover the period1987—2006, taking into account the on-set of the Asian financial crisis of 1997. We first apply a...

This paper describes a forecasting exercise of close-to-open returns on major global stockindices, based on price patterns from foreign markets that have become available overnight.As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...

In this paper two kernel-based nonparametric estimators are proposed for estimating the components of an additive quantile regression model. The first estimator is a computationally convenient approach which can be viewed as a viable alternative to the method of De Gooijer and Zerom (2003). By...

This paper describes a forecasting exercise of close-to-open returns on major global stockindices, based on price patterns from foreign markets that have become available overnight.As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...