The aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH model using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts, unconditionally, over the whole forecast...

The aim of this paper is to compare the forecasting performance of SETAR and GARCH models against a linear benchmark using historical data for the returns of the Japanese yen/US dollar exchange rate. The relative performance of the models is evaluated on point forecasts and on interval...

In the context of policy reforms in Higher Education in both the UK and Italy, we review recent evidence on student outcomes in higher education and subsequent transitions into the labour market for both these countries. We also provide the results of some new analysis for each of the two and,...

In recent years there has been a considerable development in modelling nonlinearities and asymmetries in economic and financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some of the most traded exchange rates in terms of the...

The properties of Pearson’s goodness-of-fit test, as used in density forecast evaluation, income distribution analysis and elsewhere, are analysed. The components-of-chi-squared or “Pearson analog” tests of Anderson (1994) are shown to be less generally applicable than was originally...

In recent years there has been a considerable development in time seriesanalysis, represented mainly by alternative linear models able to describe more adequately the short and long term dynamics and by the renewed interest in modelling nonlinearities and asymmetries in economic and financial...

In this paper we examine the expectations hypothesis of the term structure (EHT) using a newly constructed monthly database of zero coupon bond yields from the German Government bond market. We use data at the short end of the maturity spectrum (maturities less than two years) and employ two...

As in much of Europe, and in the particular context of the Bologna Convention on tertiary education, the Italian university system has experienced substantial reform in recent years, the major aims of which include increasing the participation, progression and retention rates of students in...

This paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using new data for Germany. The German term structure appears to forecast future short-term interest rates surprisingly well, compared with previous studies with US data, while it has lower predictive power...