We investigate the instability problem of the covariance structure of time series by combining the non-parametric approach based on the evolutionary spectral density theory of Priestley [Evolutionary spectra and non-stationary processes, J. R. Statist. Soc., 27 (1965), pp. 204-237; Wavelets and...

In this paper two characteristics a priori contradictory and yet coexistent in the daily returns of exchange rate euro/US dollar are drawn. The non-stationarity of the covariance structure of the series is shown and, after the extraction of the unstable variance using the algorithm based on the...

This paper addresses the issue of estimating the number of breaks and their locations in the monthly US inflation series using two different approaches to testing for structural changes. The first approach considers Bai and Perron's selection procedure based on a sequence of tests. This approach...

The paper seeks to investigate the causal links between economic growth and remittances for Tunisia over the period 1970–2010 through two specific transmission channels, namely financial development and investment. The analysis is based on the autoregressive distributed lag (ARDL) approach to...

This paper empirically investigates the international equity market causal links between Central and South-Eastern Europe, on the one hand, and developed countries (Western Europe and the United States), on the other hand, over the monthly sample period spanning from October 2000 to September...

The objective of this paper is to investigate the volatility spillovers between oil and stock markets in Europe. As not all industries are expected to be equally affected by oil price changes, we conduct our study at both the aggregate as well as sector levels. Empirically, we make use of a...

The paper explores the empirical evidence of the volatility interactions among the Gulf Cooperation Council (GCC) stock markets and world oil price over the weekly period spanning from June 24, 2005 to March 25, 2011. The study is conducted based on the BEKK-GARCH process developed by Kroner and...

This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation effects. Second, we study the structural breaks...

In this paper, we are interested in testing for contagion caused by the Thai bath collapse in July 1997. In line with earlier work, shift-contagion is defined as a structural change in the international propagation mechanisms of financial shocks. We adopt the Bai and Perron’s (1998) structural...