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Structural breaks in the real exchange rate adjustment mechanism

Copeland, Laurence S.; Heravi, Saeed M. - In: Applied financial economics 19 (2009) 1/3, pp. 121-134

We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterized by structural breaks, which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition Autoregression (TV-STAR) of the kind introduced by Lundbergh et al....

Persistent link: https://www.econbiz.de/10003825837

Testing for foreign exchange market efficiency : a trivariate vector autoregressive approach

Shen, Chung-hua - In: Applied financial economics 7 (1997) 6, pp. 711-719

Persistent link: https://www.econbiz.de/10001240747

Regularities in the data between major equity markets : evidence from Granger causality tests

Smith, Kenneth L. - In: Applied financial economics 3 (1993) 1, pp. 55-60

Persistent link: https://www.econbiz.de/10001145266

Stock return predictability or mismeasured risk?

Clare, Andrew D. - In: Applied financial economics 7 (1997) 6, pp. 679-687

Persistent link: https://www.econbiz.de/10001240753

A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages

Masih, Abdul Mansur M. - In: Applied financial economics 7 (1997) 1, pp. 59-74

Persistent link: https://www.econbiz.de/10001219239

Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?

Jiang, Christine X.; Chiang, Thomas C. - In: Applied financial economics 10 (2000) 1, pp. 95-104

Persistent link: https://www.econbiz.de/10001525818

Approriate lag specification for daily responses of international stock markets

Tsutsui, Yoshirō; Hirayama, Kenjiro - In: Applied financial economics 14 (2004) 14, pp. 1017-1025

Persistent link: https://www.econbiz.de/10002377754

Are there threshold effects in the stock price-dividend relation? : the case of the US stock market, 1871 - 2004

Esteve García, Vicente; Prats Albentosa, María Asuncíon - In: Applied financial economics 18 (2008) 18/21, pp. 1533-1537

Persistent link: https://www.econbiz.de/10003799959

Equity market price interdependence based on bootstrap causality tests : evidence from Australia and its major trading partners

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied financial economics 17 (2007) 10/12, pp. 827-835

Persistent link: https://www.econbiz.de/10003537981

Outlier time-series models and analysts' forecasting of GNP and corporate earnings per share

Guerard, John Baynard (contributor) - In: Applied financial economics 5 (1995) 2, pp. 113-119

Persistent link: https://www.econbiz.de/10001181317

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