The paper tests the hypothesis that both the conditional mean and the conditional variance of exchange rates are asymmetric functions of past information. This hypothesis is tested by estimating an Asymmetric Threshold GARCH model for fifteen currencies. The empirical evidence suggests that both...

Positive feedback trading can induce autocorrelation in stock returns and increase volatility. If large numbers of market participants engage in positive feedback trading strategies asset prices may deviate substantially and persistently from fundamental values. Recent studies show evidence of...