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Modelling East Asian exchange rates: a Markov-switching approach
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Modelling East Asian exchange rates: a Markov-switching approach (2004)Modelling East Asian exchange rates: a Ma…Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals (2000)Nonlinear adjustment, long-ru…Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Models of Currency Crises with Self-Fulfilling Features (1995)Models of Currency Crises wit…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyCan the Markov switching model forecast exchange rates? (1994)Can the Markov switching mode…Testing for neglected nonlinearity in time series models (1993)Testing for neglected nonline…The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…Target Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…Nonparametric exchange rate prediction? (1990)Nonparametric exchange rate p…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Testing Linearity Against Smooth Transition Autoregressive Models (1988)Testing Linearity Against Smo…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Markov regimes switching with monetary fundamental-based exchange rate model (2015)Markov regimes switching with…Modelling exchange rates using regime switching models (2006)Modelling exchange rates usin…Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)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)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Stock market volatility and the business cycle (1996)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)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)Asset Prices in an Exchange Economy (1978)Generalized autoregressive conditional heteroskedasticity (1986)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)A Model of Balance-of-Payments Crises (1979)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)Multimarket Oligopoly: Strategic Substitutes and Complements (1985)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1996)Economic Crises: Evidence and Insights from East Asia (1998)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Testing for a unit root in the nonlinear STAR framework (2002)Analysis of Financial Time Series (2006)No Single Currency Regime is Right for All Countries or At All Times (1999)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1995Models of Currency Crises with Self-Fulfilling Features1,058 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
  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1992The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp623 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 1993Testing for neglected nonlinearity in time series models498 cited
  • 1990Nonparametric exchange rate prediction?484 cited
  • 2000Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals

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455 cited
  • 1994Can the Markov switching model forecast exchange rates?415 cited
  • Cited by

    • 2006Modelling exchange rates using regime switching models31 cited
    • 2015Markov regimes switching with monetary fundamental-based exchange rate model18 cited