Krugman (1991)'s target zone model has become the reference of a large part of this literature. Despite its simplicity and elegance, empirical evidence has been lacking. Deriving from Krugman's model analytical expressions for the conditional volatility and density distribution close to the...

The problem of predicting 0-1-events is considered under general conditions, including stationary processes with short and long memory as well as processes with changing distribution patterns. Nonparametric estimates of the probability function and prediction intervals are obtained.

This paper discusses two graphical methods for the investigation of local association of two continuous random variables. Often, scalar dependence measures, such as correlation, cannot reflect the complex dependence structure of two variables. However, dependence graphs have the potential to...