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Comparing exchange rate forecasting models
16 references·4 citing·41 second hop
Comparing exchange rate forecasting models (1987)Comparing exchange rate forecasting modelsDynamic Specification (2000)Dynamic SpecificationTesting for Bubbles in Exchange Markets: A Case of Sparkling Rates? (1986)Testing for Bubbles in Exchan…Foreign exchange market efficiency tests: Implications of recent empirical findings (1986)Foreign exchange market effic…Exchange rates and international macroeconomics (1984)Exchange rates and internatio…Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff (1984)Empirical Models of the Excha…An investigation of risk and return in forward foreign exchange (1984)An investigation of risk and …Floating Exchange Rates after Ten Years (1983)Floating Exchange Rates after…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…The out-of-sample failure of empirical exchange rate models: sampling error or misspecification? (1982)The out-of-sample failure of …The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification? (1982)The Out-of-Sample Failure of …The "Speculative Efficiency" Hypothesis (1981)The "Speculative Efficiency" …The "Speculative Efficiency" Hypothesis (1980)The "Speculative Efficiency" …International economic policy: Theory and evidence (1980)International economic policy…Exchange Rate Economics: Where Do We Stand? (1980)Exchange Rate Economics: Wher…On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)On the Mark: A Theory of Floa…Analysis of Short-Run Exchange Rate Behavior March, 1973 to September, 1975 (1976)Analysis of Short-Run Exchang…The unbeatable random walk in exchange rate forecasting: Reality or myth? (2014)The unbeatable random walk in…Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting (2001)Bicorrelations and cross-bico…Combining exchange rate forecasts: What is the optimal consensus measure? (1994)Combining exchange rate forec…Economic evaluation of commodity price forecasting models (1993)Economic evaluation of commod…Domestic Financial Policies Under Fixed and Under Floating Exchange Rates (1962)A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Exchange Rates and Fundamentals (2004)Expectations and Exchange Rate Dynamics (1976)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 General Equilibrium Approach To Monetary Theory (1969)Exchange Rates and the Current Account. (1980)The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change (1989)Currency Fluctuations in the Post-Bretton Woods Era (1990)A Survey of Empirical Research on Nominal Exchange Rates (1994)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Currency Hedging for International Portfolios (1993)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Short- Term Interest Rates as Predictors of Inflation (2021)Specification Tests in Econometrics (1978)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Famous First Bubbles (1990)On Testing for Speculative Bubbles (1990)Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices (2015)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Asset Prices in an Exchange Economy (1978)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? (1985)Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2013)Charts, Noise and Fundamentals in the London Foreign Exchange Market (1990)Neural network forecasting of the British Pound/US Dollar exchange rate (1998)Perspectives on the recent currency crisis literature (1999)Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s (1982)Beating the Foreign Exchange Market (1986)What Determines Government Spending Multipliers? (2012)Exchange Rates and Economic Fundamentals: A Methodological Comparison of Beers and Feers (1998)Oil prices and the rise and fall of the US real exchange rate (1998)Forecast comparisons in unstable environments (2010)
this work references cited by second hop

References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1979On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials955 cited
  • 1980Exchange Rate Economics: Where Do We Stand?452 cited
  • 1981The "Speculative Efficiency" Hypothesis440 cited
  • 1982The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?424 cited
  • 1980The "Speculative Efficiency" Hypothesis402 cited
  • 1984Exchange rates and international macroeconomics370 cited
  • 1984An investigation of risk and return in forward foreign exchange322 cited
  • 1986Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?269 cited
  • 1984Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff171 cited
  • 1982The out-of-sample failure of empirical exchange rate models: sampling error or misspecification?167 cited
  • 2000Dynamic Specification134 cited
  • 1980International economic policy: Theory and evidence121 cited
  • 1986Foreign exchange market efficiency tests: Implications of recent empirical findings100 cited
  • 1983Floating Exchange Rates after Ten Years94 cited

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  • 1976Analysis of Short-Run Exchange Rate Behavior March, 1973 to September, 197590 cited
  • Cited by

    • 2014The unbeatable random walk in exchange rate forecasting: Reality or myth?69 cited
    • 1993Economic evaluation of commodity price forecasting models61 cited
    • 1994Combining exchange rate forecasts: What is the optimal consensus measure?56 cited
    • 2001Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting55 cited