This paper analyzes the sampling properties of the widely documented large negative slope estimates in regressions of future exchange returns on current forward premium. We argue that the abnormal behavior of the slope estimators in these regressions arises from the simultaneous presence of high...

This article addresses some empirical problems in the term structure of interest rates using a threshold autoregressive framework with GARCH errors. This framework provides a parsimonious representation of some stylized features of interest rate data and facilitates statistical inference in the...