-
Normal mixture GARCH(1,1): applications to exchange rate modelling (replicati...
Some recent specifications for GARCH error processes explicitly assume a conditional variance that is generated by a mixture of normal components, albeit with some parameter... -
Testing the unbiased forward exchange rate hypothesis using a Markov switchin...
This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue... -
Regime switching as a test for exchange rate bubbles (replication data)
This paper develops a new test for speculative bubbles, which is applied to data for the Japanese yen, the German mark and the Canadian dollar exchange rates from 1977 to 1991.... -
Spectral tests of the martingale hypothesis for exchange rates (replication d...
A new family of spectral shape tests was proposed recently by Durlauf (1991) for testing the martingale hypothesis. Unlike the widely used variance ratio test, spectral shape...