Over the past decade or so, the surge of interest among U.S. investors in international investing has led to the creation of numerous foreign equity country funds. Like U.S. closed-end mutual funds, the prices of such closed-end country funds fluctuate widely in relation to their underlying net...

This paper investigates the sources of time-varying risk for the US stock and bond markets. The model captures the change in the risk premium due to each market's own volatility risk and the covariance risk. We test for the effects of macroeconomic news on time-varying volatility as well as...

In this paper we examine the intertemporal volatility structure of Eurocurrency rates of five different maturities ranging from seven days to twelve months for six Euro CD currency denominations spanning the 1986-1992 period. the analysis used the common ARCH-feature testing methodology recently...