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Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity
16 references·3 citing·45 second hop
Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity (1997)Risk, Policy Rules, and Noise: Rethinking…The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries (1996)Real Exchange Rate Behavior: …Two Cases for Sand in the Wheels of International Finance (1995)Two Cases for Sand in the Whe…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Puzzles in International Financial Markets (1994)Puzzles in International Fina…A reconsideration of the uncovered interest parity relationship (1994)A reconsideration of the unco…Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets (1992)Characterizing Predictable Co…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Forward Discount Bias: Is it an Exchange Risk Premium? (1989)Forward Discount Bias: Is it …Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Conditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …Forward and spot exchange rates (1984)Forward and spot exchange rat…The transmission mechanism of monetary policy near zero interest rates: the Japanese experience, 1998–2000 (2002)The transmission mechanism of…Some econometric issues in measuring the monetary transmission mechanism, with an application to developing countries (2002)Some econometric issues in me…From Worldwide Capital Mobility to International Financial Integration: A Review Essay (1998)From Worldwide Capital Mobili…Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Empirical exchange rate models of the seventies (1983)How Big Is the Random Walk in GNP? (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)ARCH modeling in finance (1992)The Economics of Exchange Rates (2003)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)The Purchasing Power Parity Debate (2004)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Generalized autoregressive conditional heteroskedasticity (1986)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)The Theory of Syndicates (1968)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
this work references cited by second hop

References

  • 1985Does the Stock Market Overreact?7,569 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1996Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries886 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 1989Forward Discount Bias: Is it an Exchange Risk Premium?715 cited
  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 1994Puzzles in International Financial Markets523 cited
  • 1992Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets499 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1994A reconsideration of the uncovered interest parity relationship445 cited

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  • 1995Two Cases for Sand in the Wheels of International Finance399 cited
  • Cited by

    • 1998From Worldwide Capital Mobility to International Financial Integration: A Review Essay45 cited
    • 2002Some econometric issues in measuring the monetary transmission mechanism, with an application to developing countries20 cited
    • 2002The transmission mechanism of monetary policy near zero interest rates: the Japanese experience, 1998–200020 cited