1. Lobato, I., and C. Velasco, "Long Memory in Stock Market Trading Volume,"Journal of Business and Economic Statistics, 18(2000): 410-427.
Abstract:
This paper examines consistent estimation of the long memory parameters of stock market trading volume and volatility. The analysis is carried out in the frequency domain by tapering the data instead of detrending it. The main theoretical contribution of the paper is to prove a central limit theorem for a multivariate two-step estimator of the memory parameters of a non-stationary vector process. Using robust semiparametric procedures the long memory properties of trading volume for the thirty stocks in the Dow Jones Industrial Average Index are analyzed. Two empirical results are found. First, there is strong evidence that stock market trading volume exhibits long memory. Second, although it is found that volatility and volume exhibit the same degree of long memory for most of the stocks, there is no evidence that both processes share the same long memory component.
2. Ogaki, M., and J. Santaella, "The Exchange Rate and the Term Structure of Interest Rates in Mexico,"Journal of Development Economics, 63 (2000): 135-155.
Abstract:
Mexico adopted a floating exchange rate regime in December 1994. The Bank of Mexico's monetary policy gives attention to maintain "orderly conditions in foreign exchange markets." The Bank of Mexico relies primarily on the control of the overnight interest rate in conducting its monetary policy. The question arises whether this extremely short-term interest rate is the relevant instrument to achieve exchange rate objectives. Theory suggests that the relationship between the exchange rate and the term structure of interest rates can be complicated and counterintuitive when investors are risk averse. In this paper, we pursue an empirical investigation on the effect of the term structure of interest rates on the exchange rate for Mexico. This information could be useful to understand and manage the operation of the Mexican floating exchange rate regime. JEL classification: F21; F30.