Econometric Analysis of Financial Markets

Some Pitfalls in Using Empirical Autocorrelations to Test for Zero Correlation among Common Stock Returns.- Temporal Aggregation of Time-Series.- On Long- and Short-Run Purchasing Power Parity.- Cointegration and the Monetary Model of the Exchange Rate.- Does Cointegration Matter in the Empirical Analysis of the CAPM?.- Constructing an Empirical Model for Swiss Franc Exchange Rates and Interest Rate Differentials.- Frequency Domain Analysis of Euromarket Interest Rates.- Structuring Volatile Swiss Interest Rates: Some Evidence on the Present Value Model and a VAR-VARCH Approach.- The Expectation Hypothesis and Interest Rate Volatility on the Euromarket: Some Empirical Results.- An Investigation of the Effect of Funding on the Slope of the Yield Curve.- Stylized Facts, Realignments and Investment Strategies in the EMS.- Risk and Return in January: Some UK Evidence.- Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options.