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Continuous time regime-switching model applied to foreign exchange rate
16 references·0 citing·48 second hopsampled
Continuous time regime-switching model applied to foreign exchange rate (2013)Continuous time regime-switching model ap…The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)The Macroeconomic Effects of …Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …Regime switching in foreign exchange rates: (2000)Regime switching in foreign e…Why do regime-switching models forecast so badly? (1999)Why do regime-switching model…Regime Switches in Interest Rates (1998)Regime Switches in Interest R…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Pricing foreign currency options under stochastic interest rates (1991)Pricing foreign currency opti…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…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)Time Series Analysis: Forecasting and Control (1977)Why Does Stock Market Volatility Change Over Time? (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)How Big Is the Random Walk in GNP? (1988)ARCH modeling in finance (1992)The Economics of Exchange Rates (2003)Introductory Econometrics for Finance (2008)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)Financing Constraints and Corporate Investment (1987)Financing Constraints and Corporate Investment (1988)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)Household Expenditure and the Income Tax Rebates of 2001 (2006)Growth Forecast Errors and Fiscal Multipliers (2013)The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States (2013)An Intertemporal Capital Asset Pricing Model (1973)Theory of Rational Option Pricing (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)What is an Oil Shock? (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)American Economic Review (2019)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2010The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks2,096 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 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
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 2005Volatility Spillover Effects in European Equity Markets651 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1991Pricing foreign currency options under stochastic interest rates349 cited
  • 2000Regime switching in foreign exchange rates:222 cited

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  • 1999Why do regime-switching models forecast so badly?216 cited
  • 1998Regime Switches in Interest Rates172 cited
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