This paper demonstrates the importance of allowing for regime switching when investigating the behavior of the parallel market premium. Regime switching techniques are used to examine the credibility of a ...xed exchange regime in economies with widespread parallel markets for foreign currency. Markov regime switching techniques used in this paper were developed in Hamilton (1989), Gray (1996) ...

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we construct accuracy assessment tests that are in the spirit of Diebold and Mariano (1995) and White (2...

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we construct accuracy assessment tests that are in the spirit of Diebold and Mariano (1995) and White (2...

N. L. Harris, E. S. Jaffe, J. Diebold, G. Flandrin, H. K. Muller-Hermelink, J.Vardiman, T. A. Lister & C. D. Bloomfield Departments of Pathology. Massachusetts General Hospital and Harvard Medical School, Boston, MA, USA, i\'ationat Cancer Institute, Belhesda, MD, USA; Hotel Dieu, Paris, France; Hopital Necker, Paris, France, University of Wurzburg, Wurzburg, Germany; Pritzker School ofMedicine...

The Controlled English we have developed for Caterpillar is designed to reduce translation costs by facilitating machine translation. It is also preferred by English-speaking readers of the resulting documents. The approach to machine translation and the resulting design of the Controlled English were optimized to Caterpillar's environment and requirements, including a very high document and tr...

In this paper a number of alternative ACD models are compared using a sample of data for three major companies traded on the Australian Stock Exchange. The comparison is performed by employing the methodology for evaluating density and interval forecasts, developed by Diebold, Gunther and Tay (1998) and Christoffersen (1998), respectively. Our main finding is that the generalized gamma and log-...