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Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models
16 references·16 citing·39 second hopsampled
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models (2003)Inference on Predictability of Foreign Ex…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…A non-random walk down Wall Street (1999)A non-random walk down Wall S…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracySimple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets (1992)Characterizing Predictable Co…A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The Combination of Forecasts (1969)The Combination of ForecastsCausality between energy and output in the long-run (2013)Causality between energy and …Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates (2012)Exchange-rate return predicta…Reality Checks and Comparisons of Nested Predictive Models (2011)Reality Checks and Comparison…A principal-component approach to measuring investor sentiment (2010)A principal-component approac…Testing the Martingale Hypothesis (2009)Testing the Martingale Hypoth…Nonlinearity, data-snooping, and stock index ETF return predictability (2009)Nonlinearity, data-snooping, …Nonlinearity and intraday efficiency tests on energy futures markets (2009)Nonlinearity and intraday eff…NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS (2008)NONPARAMETRIC ESTIMATION OF V…Forecasting and combining competing models of exchange rate determination (2008)Forecasting and combining com…Forecast Evaluation of Small Nested Model Sets (2008)Forecast Evaluation of Small …Do Euro exchange rates follow a martingale? Some out-of-sample evidence (2007)Do Euro exchange rates follow…Forecasting exchange rates: A robust regression approach (2006)Forecasting exchange rates: A…Chapter 3 Forecast Evaluation (2006)Chapter 3 Forecast EvaluationBagging binary and quantile predictors for time series (2005)Bagging binary and quantile p…A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)A Selective Overview of Nonpa…Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models (2004)Out-of-Sample Performance of …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)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multifactor Explanations of Asset Pricing Anomalies (1996)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (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)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1969The Combination of Forecasts3,194 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
  • 1999A non-random walk down Wall Street647 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1992Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets499 cited
  • Cited by

    • 2006Chapter 3 Forecast Evaluation185 cited
    • 2005A Selective Overview of Nonparametric Methods in Financial Econometrics135 cited
    • 2012Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates127 cited
    • 2008NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS125 cited
    • 2009Nonlinearity and intraday efficiency tests on energy futures markets115 cited
    • 2013Causality between energy and output in the long-run115 cited
    • 2007Do Euro exchange rates follow a martingale? Some out-of-sample evidence109 cited
    • 2009Nonlinearity, data-snooping, and stock index ETF return predictability104 cited
    • 2010A principal-component approach to measuring investor sentiment104 cited
    • 2011Reality Checks and Comparisons of Nested Predictive Models87 cited
    • 2005Bagging binary and quantile predictors for time series77 cited
    • 2008Forecast Evaluation of Small Nested Model Sets75 cited
    • 2006Forecasting exchange rates: A robust regression approach71 cited
    • 2009Testing the Martingale Hypothesis69 cited
    • 2004Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models67 cited
    • 2008Forecasting and combining competing models of exchange rate determination54 cited