This article uses the Dynamic Conditional Correlation (DCC) model and the data from 11 economies to examine the inter-temporal interactions between stock return differential relative to the US and real exchange rate in the two financial crises of 1997 and 2008. The theoretical model suggests...

The article revisits the IS-LM macroeconomic model by incorporating speculation into the investment function. The discussion is supported empirically by using data from the G7 countries to examine the different interest rate regimes in the pre- and post-2008 financial crisis. The estimation of...

This paper uses the dynamic conditional correlation model and the data from eleven economies are used to examine the inter-temporal interactions between stock return differential relative to the US and real exchange rate in the two financial crises of 1997 and 2008. The theoretical model...

This empirical paper studies the fundamental value of the J-REIT price from impact of the 2008 financial crisis and the 2011 Japan earthquake between May 2003 and December 2014. The results show that the fundamental value of the J-REIT is determined only by the real estate price in the long-run....

This article provides the in-sample estimation and evaluates the out-of-sample conditional mean and volatility forecast performance of the conventional Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) and...