The econometric analysis of economic and business time series is a major field of research
and application. The last few decades have witnessed an increasing interest in both …

This study investigates the dynamic structure of nine major stock markets using an error
correction model and directed acyclic graphs (DAG). The DAG representation provides a …

This article examines the intraday price discovery process among stock index, index futures,
and index options in Germany using DAX index securities and intraday transactions data …

Abstract The Dow Jones Industrial Average (DJIA) is the most widely quoted stock index
worldwide. This article examines the minute‐by‐minute price discovery process and …

This paper explores the nature of the mean and volatility transmission mechanism between
stock and foreign exchange markets for the G-7 countries. Empirical evidence supports the …

This article examines the price discovery performance of futures markets for storable and
nonstorable commodities in the long run, allowing for the compounding factor of stochastic …

We examine the long term dynamic relation between inflation and the price of gold. We
begin by showing that there is no cointegration between gold and inflation if the volatile …

The European Union's Emissions Trading Scheme (ETS) is the key policy instrument of the
European Commission's Climate Change Program aimed at reducing greenhouse gas …

In this paper, price discovery among the Hang Seng Index markets is investigated using the
Hasbrouck and Gonzalo and Granger common‐factor models and the multivariate …

This paper examines long-run relationships between four Latin America stock markets and a
mature stock market that of the US. We estimate both the autoregressive and moving …