In the context of flexible exchange rates, Milton Friedman proposed that speculation must exert a stabilising influence on prices to remain profitable. This generated a substantial amount of predominantly theoretical research into the behaviour of speculators, for which the results seem to...

In this paper, we study the size and power of various diagnostic statistics for univariate conditional heteroscedasticity models. These test statistics include the residual-based tests recently derived by Tse, Li and Mak, and Wooldridge, respectively. Monte-Carlo experiments with 1000...

There is substantial evidence that many financial time series exhibit leptokurtosis and volatility clustering. We compare the two most commonly used statistical distributions in empirical analysis to capture these features: the t distribution and the generalized error distribution (GED). A...