This article investigates return and volatility spillover effects between Dubai Financial Market (DFM) and Abu Dhabi Stock Exchange (ADSE) using two methodologies: A simple asymmetric Vector Autoregressive-Baba, Engle, Kraft, Kroner (VAR-BEKK) framework introduced by Kroner and Ng (1998), and an...

This study is aimed mainly to examine the possible existence of a relationship between the nominal interest rate and the inflation rate in developing countries (Argentina, Brazil, Malaysia, Mexico, Korea and Turkey) coming up from a common nonlinear trend between both series. Evidence is first...