This paper provides evidence on the existence of asymmetries in the underlying loss preferences for the difference between the spot and forward nominal exchange rate. We find that, in the context of both linear and non-linear loss functions, the underlying loss preferences for monthly data are...

This paper examines the exchange rate disconnect puzzle of Obstfeld and Rogoff (2000) from a behavioural perspective. It provides evidence on the existence of substantial asymmetries in the underlying loss preferences for the difference between the spot and forward nominal exchange rates between...

A number of volatility forecasting studies have led to the perception that the ARCH- and Stochastic Volatility-type models provide poor out-of-sample forecasts of volatility. This is primarily based on the use of traditional forecast evaluation criteria concerning the accuracy and the...