This paper applies the Switching ARCH (SWARCH) model of Hamilton and Susmel (1994) to investigate the dynamics of deviations from Uncovered Interest Parity (UIP) for Malaysia for the sample period 1978-2002. In particular, the deviations (or the risk premium) are modelled as a time series...

This paper is concerned with testing the rationality of exchange rate expectations in the Australian foreign exchange market when there are missing observations in the survey data on expectations due to National or other holidays. The survey data analysed contains weekly observations on 1-week...