We analyze daily quotes of the BUX index, main index of the Budapest stock exchange, for period 2nd Jan. 1991–30th Sept. 2008, checking nonstationarity of series, stationarity of returns, applying the ARCH tests to the series. This period was not without its perils for the Hungarian economy....

The aim of this paper is to study properties of the Kwiatkowski-Phillips-Schmidt-Shin test (KPSS test), introduced in Kwiatkowski et al. (1992) paper. The null of the test corresponds to stationarity of a series, the alternative to its nonstationarity. Distribution of the test statistics is...

In this paper the possible interdependence between bilateral exchange rate behavior and the corresponding stock indices is checked, with application to the EURPLN rate and the DAX and WIG20 stock indices. Methods and results are similar to previous study of USDPLN exchange rate, and SP500 and...