The paper tests the hypothesis that both the conditional mean and the conditional variance of exchange rates are asymmetric functions of past information. This hypothesis is tested by estimating an Asymmetric Threshold GARCH model for fifteen currencies. The empirical evidence suggests that both...

This paper studies the components of the forward discount dynamics in Germany from 1972 to 1996. By using two different frequencies in the analysis, we find that an ARCH structure fits the monthly data well, while an EGARCH structure gives a better description of daily forward discount...