The main objective of this article is to explore how the number of observations included in a window may impact the rejection rate of linear windows. We employ two methodologies proposed in the literature in order to study the linear and nonlinear behaviour. We use daily Emerging Markets Bond...

Este artículo centra su atención en la relación entre desempeño de la firma y el grado de diversificación de la misma. La muestra consiste de 70 empresas chilenas para el período 2000-2007. Se encuentra que mientras mayor el grado de diversificación de la firma el desempeño es mayor....

This investigation is among the firsts to analyze the impact of corporate diversification in the firm value, controlling for shareholders ownership concentration, in companies listed in one of the most developed stock markets in America Latina – the Chile stock market. Our results describe a...

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Considering the time period from September 2000 to September 2010, we study the nonlinear behaviour of the EMBI index for six emerging Eastern European countries,. Applying the Hinich portmanteau bicorrelation test, the BDS test, the Engle test and Wavelet theory, we observe systematic nonlinear...

We study the short and long term performance of the stock returns of Latin American companies with an Initial Public Offering (IPOs) by American Depositary Receipts (ADR) in New York Stock Exchange (NYSE). The results indicate a statistically significant underpricing of 9.22% for the ADR-IPOs...

In OLS regression studies of changes in Treasury Hill (TB) rates on anticipated money, investigators have found negative coefficients on anticipated money, basically over the period 1977-1982, which is inconsistent with the market efficiency hypothesis. Using a time-varying Bayesian regression...

Este artículo provee una discusión y síntesis organizada de los principales enfoques teóricos así como de la evidencia empírica que han surgido en relación a la ecuación originalmente propuesta por Irving Fisher (1896). Esta ecuación establece una relación entre la tasa de interés...

In this article we check for nonlinear behaviour of the 10 most important Latin American emerging market bonds spreads. Applying the Hinich portmanteau bicorrelation test, the BDS test and the Engle LM test, we observe systematic nonlinear structure in the spreads series. Our results suggest...

In this paper, we analyze the adequacy of using GARCH as the data-generating process to model conditional volatility of stock market index rates-of-return series. Using the Hinich portmanteau bicorrelation test, we find that a GARCH formulation or any of its variants fail to provide an adequate...