This study examines nonlinear dynamic relationships between stock returns and inflation in ten major stock markets. Using Hansen and Seo's (2002) threshold error correction model to allow for possible regime shifts in the dynamic relationship between the two variables, threshold effects are...

This dissertation consists of three essays. Chapter II examines the possibleasymmetric response of gasoline prices to crude oil price changes using an errorcorrection model with GARCH errors. Recent papers have looked at this issue. Some ofthese papers estimate a form of error correction model,...