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Testing nonlinear forecastability in time series: Theory and evidence from the EMS
16 references·1 citing·34 second hop
Testing nonlinear forecastability in time series: Theory and evidence from the EMS (1998)Testing nonlinear forecastability in time…Technical trading rule profitability and foreign exchange intervention (1999)Technical trading rule profit…Technical analysis and the London Stock Exchange: testing trading rules using the FT30 (1997)Technical analysis and the Lo…Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets (1996)Time-varying risk premia, vol…Technical Trading Rule Profitability and Foreing Exchange Intervention (1996)Technical Trading Rule Profit…Technical Trading Rule Profitability and Foreign Exchange Intervention (1996)Technical Trading Rule Profit…15 Bootstrap based tests in financial models (1996)15 Bootstrap based tests in f…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Chaotic behaviour in exchange-rate series (1992)Chaotic behaviour in exchange…Target Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Nonparametric exchange rate prediction? (1990)Nonparametric exchange rate p…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Filter Rules and Stock-Market Trading (1966)Filter Rules and Stock-Market…Price Movements in Speculative Markets : Trends or Random Walks (1961)Price Movements in Speculativ…Nonparametric, nonlinear, short-term forecasting: theory and evidence for nonlinearities in the commodity markets (1999)Nonparametric, nonlinear, sho…Expectations and Exchange Rate Dynamics (1976)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Time series forecasting using a hybrid ARIMA and neural network model (2003)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Evaluating Interval Forecasts (1998)SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002)Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Adaptive Markets Hypothesis (2004)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A test for independence based on the correlation dimension (1996)Are Investors Reluctant to Realize Their Losses? (1998)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Value and Momentum Everywhere (2013)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)No Single Currency Regime is Right for All Countries or At All Times (1999)The Economics of Exchange Rates (2003)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)Empirical properties of asset returns: stylized facts and statistical issues (2001)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)
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References

  • 1983Empirical exchange rate models of the seventies4,153 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,036 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,311 cited
  • 1991Long-Term Memory in Stock Market Prices1,756 cited
  • 1989Long-term Memory in Stock Market Prices1,448 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1966Filter Rules and Stock-Market Trading832 cited
  • 1961Price Movements in Speculative Markets : Trends or Random Walks645 cited
  • 1990Nonparametric exchange rate prediction?484 cited
  • 1999Technical trading rule profitability and foreign exchange intervention390 cited
  • 1996Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets156 cited
  • 1996Technical Trading Rule Profitability and Foreing Exchange Intervention130 cited
  • 1997Technical analysis and the London Stock Exchange: testing trading rules using the FT30122 cited
  • 1992Chaotic behaviour in exchange-rate series67 cited
  • 1996Technical Trading Rule Profitability and Foreign Exchange Intervention20 cited

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  • 199615 Bootstrap based tests in financial models19 cited
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    • 1999Nonparametric, nonlinear, short-term forecasting: theory and evidence for nonlinearities in the commodity markets26 cited