We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows...

This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...

Although the long-run purchasing power parity (PPP) hypothesis is expected to hold across tradable goods, all price indices available to researchers for testing the validity of PPP contain some proportion of non-tradable goods prices, which may generate substantial persistence in the real...

Optimal nominal interest rate rules are usually set assuming that the underlying world is linear. In this paper we consider the performance of optimal rules when the underlying relationship between inflation and the output gap may be nonlinear. In particular if the inflation-output trade off...

We develop a forecasting model of GDP growth that features regime-switching behavior and an error-correction mechanism (ECM). Regime changes are manifested in the behavior of a stochastic regime drift component that moves between expansionary and contractionary phases, thus generating cycles in...

Can human performance continue to improve indefinitely? Or improvement will eventually slow down due to the existence of maximum limit? In this paper, the world records of 61 sport events in running and swimming through the last hundred years have been analysed to answer the question about the...

N onlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models Edited by Greg N. Gregoriou Professor of Finance, State University of New York (Plattsburgh) Research Associate, EDHEC Business School, Nice, France and Razvan Pasealau Assistant Professor of Economics,...