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Predicting daily highs and lows of exchange rates: a cointegration analysis
16 references·0 citing·37 second hop
Predicting daily highs and lows of exchange rates: a cointegration analysis (2009)Predicting daily highs and lows of exchan…Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model (2005)Forecasting Financial Volatil…Empirical exchange rate models of the nineties: Are any fit to survive? (2005)Empirical exchange rate model…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Currency traders and exchange rate dynamics: a survey of the US market (2001)Currency traders and exchange…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk (1994)The monetary model of the exc…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyCan the Markov switching model forecast exchange rates? (1994)Can the Markov switching mode…Long Memory in Foreign-Exchange Rates (1993)Long Memory in Foreign-Exchan…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…COINTEGRATION AND UNIT ROOTS (1990)COINTEGRATION AND UNIT ROOTSStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…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…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Comparing Predictive Accuracy (1995)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)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)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)There is a risk-return trade-off after all (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Stock Market Volatility and Macroeconomic Fundamentals (2012)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)Exchange Rates and Fundamentals (2004)International Financial Adjustment (2007)Exchange Rate Predictability (2013)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 2005Empirical exchange rate models of the nineties: Are any fit to survive?717 cited
  • 1990COINTEGRATION AND UNIT ROOTS638 cited
  • 2001Currency traders and exchange rate dynamics: a survey of the US market539 cited
  • 1994Can the Markov switching model forecast exchange rates?415 cited
  • 2005Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model366 cited
  • 1993Long Memory in Foreign-Exchange Rates

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359 cited
  • 1994The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk295 cited
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