Program to estimate the the vector error correction model for spot and forward exchange rates by OLS when the cointegration vector is known, and to generate estimates of the expected excess payoff. (Program written by Yangru Wu).
MARK-WU.PLT. Program also produces the plots in figure 6.1 using the data set NOISE-Q.DAT.
Program to do GMM estimation and tests of Euler equations for optimal spot and forward exchange rate speculation
Program to compute Hansen-Jagannathan bounds for forward foreign exchange speculation. Program generates columns 1 and 2 of the (unlabeled) table. Column 3 is column 1 multiplied by the factor of proportionality (0.309).