This study aims to investigate the dynamics of public debts over more than four decades for two of the main developed countries: the USA and the UK. To do this, we apply nonlinearity tests and threshold models. While the first tests enable us to check for further changes in the data, threshold...

This paper examines the adjustment dynamics of hedge fund returns and studies their exposure to risk factors in a nonlinear framework for several types of strategies over the last two decades. Nonlinearity is justified by distortions due to the use of short selling, leverage, derivatives and...

Using nonlinear modeling tools, this study investigates the comovements between the Mexican and the world stock markets over the last three decades. While the previous works only highlight some evidence of comovements, our paper aims to specify the different time-varying links and mechanisms...