In this paper, we use the segmented conditional ICAPM (International Capital Asset Pricing Model) to study the emerging stock markets integration. To address this issue, we apply the asymmetric multivariate version of GARCH-BEKK with structural break of the variance. It allows to specify the...

The properties of WS-PS model are modified when trade activity is explicitly modelled. We introduce transaction costs on the output market to capture multiplicity whatever the degree of returns to scale. The price setting curve can become downward-sloping in the unemployment rate-real wage...