Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional...

This paper considers the ability of the Power ARCH model introduced by Ding, Granger and Engle (1993) to capture the stylised features of volatility in 17 heavily traded bilateral exchange rates. This Power ARCH model nests a number of models from the ARCH family. The relative merits of these...

Recent tests using long data series find evidence in favor of long-run PPP (by rejecting either the null hypothesis of unit roots in real exchange rates and relative prices.)

We find evidence that the law of one price (LOOP) holds more nearly for country pairs that are within geographic regions that for country pairs that are not.