Emerging market currencies tend to jump together, thus intensifying short-term risk, whereas developed market currency jumps and cojumps are much less prevalent. Emerging market currency jumps are considerably more severe, especially during crisis periods. Jumps represent a majority of emerging...

This authoritative Handbook provides a thorough account and analysis of the important issues relating to the globalization of the international economy.

This paper provides a method for testing for regime differences when regimes are long-lasting. Standard testing procedures are generally inappropriate because regime persistence causes a spurious regression problem - a problem that has led to incorrect inference in a broad range of studies...

An early-warning model which predicts the extent of sovereign debt reschedulings is developedusing the behavioural assumption thatindividuals (and governments) develop minimum consumption requirements. Sharp and unexpected falls in income and consumption can threaten these minimum requirements,...

This paper finds that observed monthly United States stock index returns are consistent with an underlying mechanism of shifts in regimes amongst multiple states with differing means and volatility. An issue of especial interest is whether long-term clustering of regimes gives rise to stock...