The purpose of this paper is to examine the causality between DUST, CO2 and temperature for the Vostok ice core data series [Vostok Data Series], dating from 420 000 years ago, and the EPICA C Dome data going back 800 000 years. In addition, the time-varying volatility and coefficient of...

The paper features an analysis of causal relations between the VIX, S&P500, and the realised volatility (RV) of the S&P500 sampled at 5 minute intervals, plus the application of an Artificial Neural Network (ANN) model to forecast the VIX. Causal relations are analysed using the recently...

This paper features a statistical analysis of the monthly three factor Fama/French return series. We apply rolling OLS regressions to explore the relationship between the 3 factors, using monthly data from July 1926 to June 2018, that are available on Ken French's website. The results suggest...

The paper features an examination of the link between the behaviour of oil prices and DowJones Index in a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of modelling combined short- and long-run asymmetries....

This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China's increasing integration into the global market may have important consequences for...

This paper puts forward an alternative semiparametric regression approach to a nonlinear ACD modeling. The semiparametric functional form of the dependence of the conditional intensity on past durations suggests that the model be called the Semiparametric ACD (SEMI-ACD) model. The development of...

We consider a new class of time series models (introduced by Engle and Russell (1998)) used in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of...

The purpose of this study is to investigate whether current and future domestic and international macroeconomic variables can explain long and short run stock returns in Pacific-basin countries. The countries examined include Australia, Japan, Korea, Malaysia, New Zealand and Singapore, whilst...

We consider a new class of time series models (introduced by Engle and Russell (1998)) used in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of...

In this paper we apply an approach recently developed by Fama and French (2000) to study whether UK company profitability is mean-reverting. We use a sample of roughly 987 firms per year for a period from 1982-2000, drawn from Datastream. In a simple partial adjustment model we find convergence...