provides a parsimonious way of testing mean- volatility relationships in currency and equity markets and re-examining the …

, Singapore dollar, Taiwan dollar and the Hong Kong dollar, with the Japanese Yen and German Deutschmark as benchmarks (The U …, while the Phillipines' peso, Taiwan dollar, Yen and Deutschmark remained stationary (The Hong Kong dollar was pegged … currencies exhibited complete independence. Thus no Asian currency market - including the Yen - exhibited complete efficiency in …

-persistent pricing behavior. The anchor currencies of the D-mark and Japanese Yen are ultra-efficient in the sense of being most anti …

­term volatility of the real exchange rate with its slow convergence to parity. Further, the drift and diffusion of the real exchange …

price volatility, we present a model with multiple equilibria, which thereafter implies a possible switching between the … regimes of high and low volatility of the exchange rates. The theoretical model motivates us to adopt a Markov …