This paper analyses the extent to which the Swedish money market risk premium has been affected by the current financial turmoil. We also examine the impact of shocks transmitted from the US and European markets in more detail. Our results indicate that the Swedish market has been significantly...

In this note we study whether simple technical trading rules are pro table on the three Baltic stock markets. To statistically assess our ndings we consider the conventional t-test and a block-bootstrap procedure. The two evaluation methods give conflicting results. The t-test supports some of...

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find...