This paper investigates potential nonlinearities in the gain function, which, under adaptive learning, regulates the updating of agents' beliefs in response to recent forecast errors. I use data on professional survey forecasts to estimate nonparametric functional-coefficient regression models....

This paper investigates potential nonlinearities in the gain function, which, under adaptive learning, regulates the updating of agents' beliefs in response to recent forecast errors. I use data on professional survey forecasts to estimate nonparametric functional-coefficient regression models....

This paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to model the conditional mean part and a GARCH type model with a policy dummy variable is applied to...