This paper reports new evidence of a time-varying risk premium, and against the usual interpretation of irrationality, in survey data for three major currency markets. Using the cointegrated VAR to better focus on the issue of persistence, the deviations from Uncovered Interest Parity are found...

Currency market is recently the largest world market during the existence of which there have been many theories regarding the prediction of the development of exchange rates based on macroeconomic, microeconomic, statistic and other models. The aim of this paper is to identify the adequate...

This paper answers two questions: “What impact have natural resources had on the spread of the HIV/AIDS epidemic so far?” and “What role can natural resource rents play in order to finance the long-run response to HIV/AIDS?” Using a panel dataset, de Soysa and Gizelis (2013) provided...

The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...

We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new and existing observation driven time series models....

The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...