Generalized autoregressive conditional heteroscedasticity (GARCH)-type models have been successively used to capture the conditional volatility of macroeconomic and financial time series in the past two decades. However, few diagnostic tests are specifically devised to check the adequacy of...

In this paper, time-varying market and currency risks among a selected set of developed and emerging economies are compared in terms of stochastic dominance. For this purpose, time-varying exchange rate exposure and market betas are obtained through a multivariate model that explicitly allows...

On the basis that the sources of sign and magnitude asymmetries of exchange rate exposure are largely related to each other, this paper attempts to capture both types of exposure asymmetries in tandem. In addition, the overall impact of incorporating exposure asymmetries on returns is also...

The Heteroskedastic Mixture Model (HMM) of Lamoureux, and Lastrapes (1990) is extended, relaxing the restriction imposed on the mean i.e. μ_t-1=0 . Instead, an exogenous variable r_m, along with its vector β_m, that predicts return r_t is introduced to examine the hypothesis that the volume is a...

The objective of this study is to identify the short- and long-run determinants of inflation in Sri Lanka. It follows an eclectic approach to seeking possible determinants of inflation and employs an Autoregressive Distributed Lag (ARDL) bounds testing approach to test for co integration between...