This paper models dynamic correlations between the Asian stock market returns and studies their behaviour over the period before, during and after the Asian financial crisis, which occurred in the 1990s. To establish the presence of contagion effect, this paper investigates whether or not there...

The Central Limit Theorem (CLT) is an important result in statistics and econometrics and econometricians often rely on the CLT for inference in practice. Even though, different conditions apply to different kinds of data, the CLT results are believed to be generally available for a range of...

In the absence of uniformly most powerful (UMP) tests or uniformly most powerful invariant (UMPI) TESTS, King (1987c) suggested the use of Point Optimal (PO) tests, which are most powerful at a chosen point under the alternative hypothesis. This paper surveys the literature and major...

In order to better understand the economy and conduct policy analysis, both econometricians and decision makers are interested in effective inferences using econometric models. Because of the complexity of economic data, econometricians heavily rely on asymptotic theory when making statistical...

We know very little about the performance of point optimal (PO) and approximate point optimal (APO) tests in the presence of unavoidable nuisance parameters. Because marginal likelihood based tests are said to perform well in the presence of unavoidable nuisance parameters, this paper compares...

This study analyses the process of mean reversion towards purchasing power parity (PPP) for a sample of Asian countries around the 1997 crisis. It is found that appreciation relative to PPP is evident prior to the 1997 crash period. Correction occurs from 1997 onwards, a period marked by extreme...

We examine changes in bank equity risk following the formation of the Economic Monetary Union (EMU) in 1999. With the exception of Germany, we observe a decline in bank risk across euro-zone countries. Total risk decreased for 70% of the euro-zone banks in our sample with a statistically...