This paper employs a panel vector autoregressive model (PVAR) to study the dynamics of
the overall exchange rate volatility. PVAR estimation results, based on panel data for 29 …

Comovements of exchange rates before and during Asian financial crisis are examined
using cross-spectral methodology. The paper proposes and implements a simple frequency …

The authors investigate the impact of structural monetary policy shocks on ex-post equity risk
premium (ERP) of aggregate and sectoral FTSE indices and 25 Fama-French style value …

The aim of the article is to construct an asymptotically consistent test, based on a
subsampling approach, to verify hypothesis about existence of the individual or common …

Purpose The purpose of this paper is to investigate the characteristics of the Initial Public
Offering (IPO) market, IPO underpricing and the long-run performance of IPOs and to find out …

This study investigates the effect of three dimensions of exchange rate misalignments—(i)
distance (absolute misalignments),(ii) direction (overvaluation or undervaluation), and (iii) …

This paper offers an empirical explanation behind the dynamics of the overall volatility of
exchange rates and its high‐frequency, most economically destabilizing components …

This research uses spectral methodology to study how the volatility of spot exchange rate
misalignments changed as a result of (1) signing of the Plaza Accord and (2) introduction of …

This paper explores long term cycles in Turkish stock market returns. Weekly data for five
indices (ISE-100, Industrial Index, Financial Index, Services Index and Technology Index) in …

We develop two nonparametric approaches to analyze the empirical properties of economic
cycles. The first approach is based on almost periodically correlated time series commonly …