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Structural Models vs Random Walk: The Case of the Lira/$ Exchange Rate
13 references·1 citing·35 second hop
Structural Models vs Random Walk: The Case of the Lira/$ Exchange Rate (1990)Structural Models vs Random Walk: The Cas…The Italian continuous time model (1990)The Italian continuous time m…The Out-of-Sample Forecasting Performance of Exchange Rate Models when Coefficients are Allowed to Change (1987)The Out-of-Sample Forecasting…OFF THE MARK: LESSONS FOR EXCHANGE RATE MODELLING * (1987)OFF THE MARK: LESSONS FOR EXC…Lessons from Empirical Models of Exchange Rates (Enseignements tires des modeles empiriques de comportement des taux de change) (Ensenanzas que nos brindan los modelos empiricos de tipos de cambio) (1987)Lessons from Empirical Models…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Efficient exchange rate forecasts: Lagged models better than the random walk (1986)Efficient exchange rate forec…Was it Real? The Exchange Rate-Interest Differential Relation, 1973-1984 (1985)Was it Real? The Exchange Rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Fluctuations in the Dollar: A Model of Nominal and Real Exchange Rate Determination (1980)Fluctuations in the Dollar: A…The Current Experience with Floating Exchange Rates: An Appraisal of the Monetary Approach (1978)The Current Experience with F…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Econometric Estimation of Stochastic Differential Equation Systems (1972)Econometric Estimation of Sto…The Theory of Exchange Rate Determination, and Exchange Rate Forecasting (1993)The Theory of Exchange Rate D…Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)The monetary approach to the balance of payments (1977)The Monetary Approach to Exchange Rate in an Efficient Foreign Exchange Market: Tests Based on Volatility (1981)Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your p 's and q 's! (2005)Exchange rate predictability and dynamic Bayesian learning (2020)Trends and random walks in macroeconmic time series (1982)Exchange rate risk and transactions costs: Evidence from bid-ask spreads (1987)Some linear and nonlinear thoughts on exchange rates (1991)Short-run forecasting of the euro-dollar exchange rate with economic fundamentals (2011)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Forward and spot exchange rates (1984)The U. S. Budget and Trade Deficits: A Simultaneous Equation Model (1990)Purchasing power parity, price indices, and exchange rate forcasts (2003)The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach (2010)CONTINUOUS TIME STOCHASTIC MODELS AND ISSUES OF AGGREGATION OVER TIME (1984)Differential Paths to Parity: A Study of the Contemporary Arms Race (1984)A two-country NATREX model for the euro/dollar (2009)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Convergence Across States and Regions (1991)Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration (1992)Regression neural network for error correction in foreign exchange forecasting and trading (2003)Advances in Forecasting under Instability (2013)Exchange rate forecasting: the errors we’ve really made (2003)Global Current Account Imbalances and Exchange Rate Adjustments (2005)The Share of Systematic Variation in Bilateral Exchange Rates (2017)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1980Fluctuations in the Dollar: A Model of Nominal and Real Exchange Rate Determination269 cited
  • 1972Econometric Estimation of Stochastic Differential Equation Systems132 cited
  • 1987The Out-of-Sample Forecasting Performance of Exchange Rate Models when Coefficients are Allowed to Change112 cited
  • 1987OFF THE MARK: LESSONS FOR EXCHANGE RATE MODELLING *87 cited
  • 1987Lessons from Empirical Models of Exchange Rates (Enseignements tires des modeles empiriques de comportement des taux de change) (Ensenanzas que nos brindan los modelos empiricos de tipos de cambio)72 cited
  • 1978The Current Experience with Floating Exchange Rates: An Appraisal of the Monetary Approach69 cited
  • 1986Efficient exchange rate forecasts: Lagged models better than the random walk67 cited
  • 1990The Italian continuous time model57 cited
  • 1985Was it Real? The Exchange Rate-Interest Differential Relation, 1973-198429 cited

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  • 1993The Theory of Exchange Rate Determination, and Exchange Rate Forecasting

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11 cited