Purpose – The purpose of this chapter is to investigate the linear and nonlinear short- and long-run relationships between the real price of oil and the US real effective exchange rate. Methodology/approach – We use recent linear and nonlinear econometric techniques over the period...

Purpose – This chapter aims to investigate the stock market comovements between Mexico and the world capital market using nonlinear modeling tools. Methodology/approach – We apply recent nonlinear cointegration and nonlinear error correction models (NECMs) to investigate the comovements...

During the global financial crisis of 2008–2009, most developed and emerging economies and financial markets have recorded important financial losses. Those economies have experienced momentous corrections, and their assets were significantly devaluated, implying many losses and bankruptcies...

In this chapter the author studies the capital market efficiency hypothesis and checks whether the stock price adjustment dynamics is instantaneous, continuous, and linear or not. In particular, the author proposes to analyze the stock price evolution while taking into account the presence of...