We examine the linkages both within and between stock and foreign exchange (FX) markets via three higher moments of return distributions (volatility, skewness and kurtosis). We find FX market linkages (in the 2nd and 4th moments) are relatively more prominent in developed markets. Cross-asset...

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies (CRAs)' sovereign credit re-ratings on European stock and currency return distributions via their first four realized...

Using a sample of monthly asset classes from January 1990 to December 2016, we provide a comprehensive and more consistent approach to analyse and compare the risk-return relationships of Australian superannuation investment options. In estimating the risk profiles of the investment options, we...