This paper uses the EGARCH model to investigate the volatility spillovers between home foreclosures, adjustable mortgage rates, housing prices and unemployment rate for the US. The results provide evidence of volatility spillover effects from adjustable mortgage rates, home foreclosures and...

This paper seeks to ascertain whether shocks to hedge fund returns are permanent or temporary by using M1 and M2 unit root procedures advanced by Narayan and Popp. In addition, the paper implements the GARCH-based unit root test developed by Liu and Narayan. These procedures allow for two...