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FORECASTING DISCONNECTED EXCHANGE RATES (replication data)
The inability of empirical models to forecast exchange rates has given rise to the belief that exchange rates are disconnected from macroeconomic fundamentals. This paper... -
Conditional heteroscedasticity of exchange rates: further results based on th...
A recent article (Tse, 1998) published in this journal analysed the conditional heteroscedasticity of the yen-dollar exchange rate based on the fractionally integrated... -
Bridging the gap between the distribution of realized (ECU) volatility and AR...
This paper bridges the gap between traditional ARCH modelling and recent advances on realized volatilities. Based on a ten-year sample of five-minute returns for the ECU basket... -
Exchange rate target zone models: a Bayesian evaluation (replication data)
This paper develops a Bayesian approach to estimating exchange rate target zone models and rational expectations models in general. It also introduces a simultaneous-equation... -
Exchange rates and monetary fundamentals: what do we learn from long-horizon ...
The use of a new bootstrap method for small-sample inference in long-horizon regressions is illustrated by analysing the long-horizon predictability of four major exchange...
