This paper examines the role of carry trade and momentum trading strategies and their implications for the magnitude of the forward premium anomaly. The formal analysis uses a logistic smooth transition regression, with transition variables related to the di¤erent currency trading strategies. The hypothesis of uncovered interest parity is found to hold in an upper regime where carry trades appe...

A panel of ex-ante forecasts of a single time series is modeled as a dynamic factor model, where the conditional expectation is the single unobserved factor. When applied to out-of-sample forecasting, this leads to combination forecasts that are based on methods other than OLS. These methods perform well in a Monte Carlo experiment. These methods are evaluated empirically in a panel of simulate...

This paper proposes an exact Gaussian estimator for nonlinear continuous time models of the term structure of interest rates. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite sample performance of the proposed procedure offers an improvement over the discrete appr...

This paper discusses the existence of spurious long memory in common nonlinear time series models, namely Markov switching and threshold models. We describe the asymptotic behavior of the process in terms of autocovariance and autocorrelation function and support the theoretical evidences by providing Monte Carlo simulation. The existence of long memory in these nonlinear processes is induced b...

This paper provides a comprehensive analysis of the interest rate pass-through euro area monetary policy to retail rates outside area, contributing literature on consequences unofficial financial euroisation and transmission channels spillovers. The results suggest that in long run, more than one third all euroised countries central, eastern south-eastern Europe (CESEE) are linked shadow rate. ...

The purpose of this paper is to examine the extent to which trust directly affects public support for biotechnology, particularly in applications to food production and genetic modification of crop plants. Unlike previous research in which trust is assumed to be exogenous, this paper posits that trust is endogenously determined. An econometric model is developed that controls for the endogeneit...