In this paper we test for the presence of bubbles in the Nasdaq stock market index over the period 1994–2003 applying fractional integration techniques and allowing for structural breaks and non-linear adjustments of prices to dividends. The results show a significant structural break in 1998...

In this paper we test whether volatility in six emerging markets has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative methodologies of...