The predictive capability of a modification of Rissanen's accumulated prediction error (APE) criterion, APE$_{\delta_{n}}$,is investigated in infinite-order autoregressive (AR($\infty$)) models. Instead of accumulating squares of sequential prediction errors from the beginning,...

This paper develops an empirical framework to determine if the Asian currency crisis was contagious, and if so, whether the contagion was warranted or unwarranted. By applying a monetary-portfolio model to monthly data for 1991-1998, our results show that short-run variations in exchange rates...