This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

This paper features an analysis of cryptocurrencies and the impact of the COVID-19 pandemic on their effectiveness as a portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum and the S&P500 Index using a variety of parametric...

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...

This paper presents an application of a recently developed approach by Matteson and James (2012) for the analysis of change points in a data set, namely major financial market indices converted to financial return series. The general problem concerns the inference of a change in the distribution...