Some Evidence of Speculative Bubbles in the Foreign Exchange Markets
作者提出投资组合模型表现不佳是因为忽略了投机泡沫，并构建了一个新的不确定性泡沫模型。对三种汇率进行检验，发现加入泡沫的模型比VAR模型在样本外动态模拟中表现更好。
The authors propose that the poor performance of portfolio models is due to their exclusion of speculative bubbles. They suggest a new unce rtainty-bubble solution (as opposed to a risk-bubble solution). Discr etion is minimized because the trend of the bubble is an exact functi on of the structural parameters. For three exchange rates, the bubble -augmented portfolio model passes the usual statistical tests and per forms better than its VAR equivalent in out-of-sample dynamic simulat ion. When the model was reestimated with the bubbles removed, and wit h ordinary dummies in place of the constrained trend, the parameter e stimates were invariably insignificant. Copyright 1987 by Ohio State University Press.