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An Economic Evaluation of Empirical Exchange Rate Models
16 references·16 citing·41 second hopsampled
An Economic Evaluation of Empirical Exchange Rate Models (2008)An Economic Evaluation of Empirical Excha…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Exchange Rate Dynamics Redux (1995)Exchange Rate Dynamics ReduxMultivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Forward and spot exchange rates (1984)Forward and spot exchange rat…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…The Combination of Forecasts (1969)The Combination of ForecastsThe hedge asset for BRICS stock markets: Bitcoin, gold or VIX (2021)The hedge asset for BRICS sto…The relationship between oil prices and exchange rates: Revisiting theory and evidence (2020)The relationship between oil …Performance measurement of ESG-themed megatrend investments in global equity markets using pure factor portfolios methodology (2020)Performance measurement of ES…Forward and Spot Exchange Rates in a Multi-Currency World* (2018)Forward and Spot Exchange Rat…Volatility risk premia and exchange rate predictability (2016)Volatility risk premia and ex…Equity premium prediction: The role of economic and statistical constraints (2016)Equity premium prediction: Th…Currency Premia and Global Imbalances (2016)Currency Premia and Global Im…Sparse and Stable Portfolio Selection With Parameter Uncertainty (2014)Sparse and Stable Portfolio S…Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk? 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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1969The Combination of Forecasts3,194 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1995Exchange Rate Dynamics Redux2,110 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1995

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Exchange rates and fundamentals: Evidence on long-horizon predictability
1,044 cited

Cited by

  • 2012How the Subprime Crisis went global: Evidence from bank credit default swap spreads245 cited
  • 2020The relationship between oil prices and exchange rates: Revisiting theory and evidence218 cited
  • 2016Currency Premia and Global Imbalances208 cited
  • 2016Volatility risk premia and exchange rate predictability192 cited
  • 2012Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective169 cited
  • 2011Predictability of Currency Carry Trades and Asset Pricing Implications161 cited
  • 2021The hedge asset for BRICS stock markets: Bitcoin, gold or VIX119 cited
  • 2018Forward and Spot Exchange Rates in a Multi-Currency World*118 cited
  • 2010The effects of economic news on commodity prices109 cited
  • 2012The predictive information content of external imbalances for exchange rate returns: How much is it worth?95 cited
  • 2016Equity premium prediction: The role of economic and statistical constraints94 cited
  • 2014Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?94 cited
  • 2014Sparse and Stable Portfolio Selection With Parameter Uncertainty88 cited
  • 2011Spot and forward volatility in foreign exchange84 cited
  • 2020Performance measurement of ESG-themed megatrend investments in global equity markets using pure factor portfolios methodology75 cited
  • 2007Overnight information and stochastic volatility: A study of European and US stock exchanges75 cited