The main goal of this article is to provide an answer to the question: does anything forecast
exchange rates, and if so, which variables? It is well known that exchange rate fluctuations …

Time series analysis has undergone many changes in recent years with the advent of unit
roots and cointegration. Maddala and Kim present a comprehensive review of these …

We propose and evaluate explicit tests of the null hypothesis of no difference in the accuracy
of two competing forecasts. In contrast to previously developed tests, a wide variety of …

The prominence of finite mixture modelling is greater than ever. Many important statistical
topics like clustering data, outlier treatment, or dealing with unobserved heterogeneity …

This paper uses Markov-switching models to investigate the impact of oil shocks on real
exchange rates for a sample of oil exporting and oil importing countries. This is an important …

We re-assess exchange rate prediction using a wider set of models that have been
proposed in the last decade: interest rate parity, productivity based models, and a composite …

Forward exchange rate unbiasedness is rejected in tests from the current floating exchange
rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) …

We examine the econometric performance of regime-switching models for interest rate data
from the United States, Germany, and the United Kingdom. Regime-switching models …

The untested hypothesis of a linear association between trade openness and economic
growth in earlier studies may bring about incorrect inferences if indeed the association is …

The use of Markov-switching models to capture the volatility dynamics of financial time
series has grown considerably during past years, in part because they give rise to a …