Asset price fluctuations commonly exhibit volatility clustering, asymmetry, leptokurtosis and high peakedness. Yet econometricians lack parametric methods flexible enough to accommodate all these effects. This paper introduces a GARCH model with a flexible parametric error distribution based on...

his paper takes a new empirical look at the long-standing question of the effect of exchange rate volatility on international trade flows by studying the case of Taiwan's exports to the United States from 1989-1998. In particular, we employ sectoral-level, monthly data and an innovative...

This paper compares the performance of alternative models of East Asian exchange rates at different data frequencies. Selected models employ different specifications of the conditional variance and the conditional error distribution. Conditional variance specifications include: Homoscedasticity,...

From 2000 to 2014, per capita gross domestic product in Sub-Saharan Africa increased by almost 35 percent in real terms, doubling in some countries. Such progress happened while agricultural productivity growth remained low in the aggregate, despite some bright spots, and poverty reduction was...