Fama and French (1989) identify two useful variables for forecasting expected asset returns: the default and term spread. Jensen et al. (1996) show that the ability of default and term spreads to forecast expected returns is dependent upon the monetary environment. Motivated by the theoretical...

Recent evidence has suggested that a model capable of capturing multiple volatility dynamics best describes daily exchange rate volatility. Estimation of a model that can capture long-run and short-run volatility movement also allows issues relating to financial and economic integration between...