21 Peso problems: Their theoretical and empirical implications

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Dynamic Asset Pricing Theory.

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The handbook of international economics

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Interest rates and currency prices in a two-country world

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Alternative models for conditional stock volatility

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Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

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Implications of Security Market Data for Models of Dynamic Economies

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Long Swings in the Dollar: Are They in the Data and Do Markets Know It?

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Rational-expectations econometric analysis of changes in regime

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The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure

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Business-Cycle Phases and Their Transitional Dynamics

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Dividend yields and expected stock returns: alternative procedures for inference and measurement

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Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

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Puzzles in International Financial Markets

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Mean Reversion in Equilibrium Asset Prices

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7. Regime Switching with Time-Varying Transition Probabilities

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Expectations and Volatility of Consumption and Asset Returns

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The ‘peso problem’ in testing the efficiency of forward exchange markets

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Do Expected Shifts in Inflation Affect Estimates of the Long‐Run Fisher Relation?

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Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?

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Is there a peso problem? Evidence from the dollar/pound exchange rate, 1976-1987

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The equity premium and the risk-free rate

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The Hamilton model with a general autoregressive component: estimation and comparison with other models of economic time series

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Do stationary risk premia explain it all?

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The equity premium and the risk-free rate: matching the moments

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Testing the term structure of interest rates using a stationary vector autoregression with regime switching

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Tests of Rational Expectations in the Forward Exchange Market

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Asset Price Volatility, Bubbles, and Process Switching

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Exchange rate volatility and deviations from unbiasedness in a cash-in-advance model

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Foreign exchange futures prices under fixed exchange rates

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Was there a "Peso Problem" in the U.S. Term Structure of Interest Rates: 1979-1982?

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Essays on expectations and exchange rate volatility

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Exact Solutions for Expected Rates of Return under Markov Regime Switching: Implications for the Equity Premium Puzzle

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The term structure of interest rates and regime shifts: Some empirical results

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The Forward Premium Anomaly: Three Examples in Search of a Solution

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The Distribution of Exchange Rates in the EMS

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Dividend Variability and Stock Market Swings

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