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Predicting daily exchange rate with singular spectrum analysis
16 references·4 citing·38 second hop
Predicting daily exchange rate with singular spectrum analysis (2009)Predicting daily exchange rate with singu…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Forecasting European industrial production with singular spectrum analysis (2008)Forecasting European industri…Empirical exchange rate models of the nineties: Are any fit to survive? (2005)Empirical exchange rate model…Monetary Policy and Long-Horizon Uncovered Interest Parity (2004)Monetary Policy and Long-Hori…Exchange Rates and Economic Fundamentals: A Methodological Comparison of Beers and Feers (1998)Exchange Rates and Economic F…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS (1994)USING THE MUTUAL INFORMATION …Terms of Trade, Productivity, and the Real Exchange Rate (1994)Terms of Trade, Productivity,…Chartists, Fundamentalists, and Trading in the Foreign Exchange Market (1990)Chartists, Fundamentalists, a…Cointegration and Tests of Purchasing Power Parity (1988)Cointegration and Tests of Pu…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s (1982)Flexible Exchange Rates, Pric…Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s (1981)Flexible Exchange Rates, Pric…On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)On the Mark: A Theory of Floa…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Analyzing multiple COVID-19 outbreak impacts: A case study based on Chinese national air passenger flow (2023)Analyzing multiple COVID-19 o…Predicting ambulance demand using singular spectrum analysis (2012)Predicting ambulance demand u…On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries (2012)On the globalization of stock…Prediction of steel prices: A comparison between a conventional regression model and MSSA (2010)Prediction of steel prices: A…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)The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)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)Specification Tests in Econometrics (1978)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection (1988)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Selecting macroeconomic variables as explanatory factors of emerging stock market returns (2001)Comparing Predictive Accuracy (1994)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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Exchange Rates in Emerging Economies: What Do We Know? What Do We Need to Know? (1999)The Transfer Problem Revisited: Net Foreign Assets and Real Exchange Rates (2000)Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues* (2006)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Oil and the Macroeconomy since World War II (1983)Testing for Granger non-causality in heterogeneous panels (2012)Exchange Rates and Fundamentals (2004)International Financial Adjustment (2007)Exchange Rate Predictability (2013)On Jump Processes in the Foreign Exchange and Stock Markets (1988)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 1979On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials955 cited
  • 2005Empirical exchange rate models of the nineties: Are any fit to survive?717 cited
  • 1998Exchange Rates and Economic Fundamentals: A Methodological Comparison of Beers and Feers587 cited
  • 1981Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s500 cited
  • 1982Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s433 cited
  • 2004Monetary Policy and Long-Horizon Uncovered Interest Parity403 cited
  • 1988Cointegration and Tests of Purchasing Power Parity354 cited
  • 1990Chartists, Fundamentalists, and Trading in the Foreign Exchange Market347 cited
  • 1994Terms of Trade, Productivity, and the Real Exchange Rate340 cited
  • 2008Forecasting European industrial production with singular spectrum analysis

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270 cited
  • 1994USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS225 cited
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    • 2012Predicting ambulance demand using singular spectrum analysis61 cited
    • 2010Prediction of steel prices: A comparison between a conventional regression model and MSSA38 cited
    • 2012On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries28 cited
    • 2023Analyzing multiple COVID-19 outbreak impacts: A case study based on Chinese national air passenger flow16 cited