This paper examines the structural linkages that may exist between the G7 national interest rates. Its aim is to exploit some new techniques in cointegration analysis to see to what extent conclusions can be drawn purely from the data without imposing any arbitrary identification conditions....

The tests of Robinson (Journal of the American Statistical Association, 89, 1420-37, 1994a) are used to analyse the degree of dependence in the intertemporal structure of daily stock returns (defined as the first difference of the logarithm of stock prices, where the series being considered is...

This paper examines the dynamic interactions between mutual fund flows and security returns in an emerging capital market, namely the Greek one. It adopts a testing strategy not requiring pre-testing (which might generate severe biases) but simply augmenting the system (Toda and Yamamoto, 1995,...

This study reviews recent developments in the analysis of non-stationary panels, focusing on empirical applications of panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First, unit root tests suffer from severe size distortions in...

This paper examines whether a monetary policy tightening (i.e., an increase in the domestic interest rate) was successful in defending the exchange rate from speculative pressures during the Asian financial crisis. We estimate a bivariate VECM for four Asian countries, and improve upon existing...

This paper examines aggregate money demand relationships in five industrial countries by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Fractional cointegration would imply that, although there exists a...

This pa per suggests a simple valuation method based on Chebyshev approximation at Chebyshev nodes to value American put options. It is similar to the approach taken in Sullivan (2000), where the option`s continuation region function is estimated by using a Chebyshev polynomial. However, in...