This paper uses an extremely high frequency data set on the dollar-sterling exchange rate to investigate the impact of news events on the very short-term movements in exchange rates. The data set is a continuous record of the quoted price for the exchange rate on the Reuters screen. As such it...

This paper attempts to enlarge the class of Threshold Heteroscedastic Models (TARCH) introduced by Zakoian (1991). We show that it is possible to relax the positivity constraints on the parameters of the conditional variance. Unconstrained models provide a greater generality of the paths...

This article takes up methods for Bayesian inference in a linear model in which the disturbances are independent and have identical Student-t distributions. It exploits the equivalence of the Student-t distribution and an appropriate scale mixture of normals, and uses a Gibbs sampler to perform...

We propose a new generic and highly efficient Accelerated Gaussian Importance Sampler (AGIS) for the numerical evaluation of (very) high-dimensional density functions. A specific case of interest to us is the evaluation of likelihood functions for a broad class of dynamic latent variable models....

I compare two high-level matrix programming languages with built-in function libraries and graphics routines. Their interactive nature and convenient syntax makes them ideal for use in econometric applications. The languages are remarkably similar in terms of their features and performance....

The note describes the lengthening in publication lags for econometric papers in seven journals since 1986 and briefly considers ways of shortening them. Copyright 1993 by John Wiley & Sons, Ltd.

In the context of allocation models with vector autoregressive errors we propose a convenient procedure, based on the Lagrange multiplier principle, for testing any possible combination of absence of serial correlation, homogeneity, and symmetry against any possible alternative which specifies...

This paper extends previous studies on bond ratings by modeling as a system of equations the determinants of a municipality's decision to obtain a bond rating and the determinants of the municipality's rating for the two major rating agencies. Our model provides a framework to examine formally...

An empirical balance of payments model involving the demand and supply of imports and exports for 31 developing countries is estimated utilizing panel data over 1964-87. In order to compute error-components 3SLS estimates of this model, which requires different instruments for different...

This paper develops two new methods for conducting formal statistical inference in nonlinear dynamic economic models. The two methods require very little analytical tractability, relying instead on numerical simulation of the model's dynamic behaviour. Although one of the estimators is...