Using the Box-Cox regression model with heteroscedasticity (BCHR), we re-examine the size distribution of the Portuguese manufacturing firms studied by Machado and Mata (2000) using the Box-Cox quantile regression (BCQR) method. We show that the BCHR model compares favourably against the BCQR...

This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the...