The interdependence of Japan’s Nikkei (JN), Taiwan Weighted (TW), Singapore Strait Times (SST), Korea Composite (KC) and Hang Seng (HS) SPIs is tested on 2739 daily observations for July 8, 1990 to July 6, 2000.

In this paper, the central question is which International CAPM is appropriate to price a firm's assets in an internationally integrated world.

Our primary goal is to develop and analyze a dynamic economic model that takes into account several sources of information-based trade-the markets for a stock and options on that stock-and that ultimately accounts for salient features of stock price data, including serial correlation in stock...

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G) ARCH] in daily and weekly data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a new LM test that is resistant to additive outliers. The data...

This paper analyzes the integration process of European equity markets since the 1980s. Its central focus is on the role that EMU, and specifically, changes in exchange rate volatility, has played in this process of financial integration.

This paper constructs a model for the evolution of a risky security that is consistent with a set of observed call option price. It explicitly treats the fact that only a discrete data set can be observed in practice, The framework is general and allows for state dependent volatility and jumps.