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Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables

Spagnolo, Fabio; Psaradakis, Zacharias; Sola, Martín - 2004

This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER...

Persistent link: https://www.econbiz.de/10014068295

Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables

Spagnolo, Fabio; Psaradakis, Zacharias G.; Sola, Martin - In: Journal of applied econometrics 20 (2005) 3, pp. 423-437

Persistent link: https://www.econbiz.de/10002807278

A bootstrap test for symmetry of dependent data based on a Kolmogorov-Smirrnov type statistics

Psaradakis, Zacharias G. - 2002

Persistent link: https://www.econbiz.de/10001717796

A note on super exogeneity in linear regression models

Psaradakis, Zacharias G. - In: Econometric reviews 18 (1999) 3, pp. 331-336

Persistent link: https://www.econbiz.de/10001405022

p-value adjustment for multiple tests for nonlinearity

Psaradakis, Zacharias G. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 4 (2000) 3, pp. 95-100

Persistent link: https://www.econbiz.de/10001773120

A simple method of testing for cointegration subject to multiple regime changes

Gabriel, Vasco J.; Psaradakis, Zacharias G.; Sola, Martin - In: Economics letters 76 (2002) 2, pp. 213-221

Persistent link: https://www.econbiz.de/10001690295

On regression-based tests for persistence in logarithmic volatility models

Psaradakis, Zacharias G.; Tzavalis, Elias - In: Econometric reviews 18 (1999) 4, pp. 441-448

Persistent link: https://www.econbiz.de/10001413477

Using the bootstrap to test for symmetry under unknown dependence

Psaradakis, Zacharias G. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 406-415

Persistent link: https://www.econbiz.de/10011691652

Bootstrap-assisted tests of symmetry for dependent data

Psaradakis, Zacharias G.; Vávra, Márian - 2018

Persistent link: https://www.econbiz.de/10011903680

Portmanteau tests for linearity of stationary time series

Psaradakis, Zacharias G.; Vávra, Marián - 2015

Persistent link: https://www.econbiz.de/10011350561

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