This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables. Later, we use the Bai–Perron procedure to show the...

In this paper, we obtain a statistic that is useful for the analysis of the integration order of a variable which exhibits two changes in its mean. Our work begins by showing that the most commonly used unit root tests behave asymptotically in a correct manner for double changing mean variables....

This paper examines volatility transfers between size-based stock indexes from the Tokyo Stock Exchange. We use a bivariate EGARCH model to test for volatility spillover effects between large- and small-cap stock indexes. We find an asymmetric volatility spillover from large-cap stock returns to...

Este trabajo es parte de un seminario realizado en el segundo semestre de 1972, sobre las experiencias de diversas empresas chilenas de participación, con el objetivo de confrontar con la realidad los estudios hechos en un curso anterior a nivel teórico sobre el sistema de autogestión. Como...