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Profits, risk, and uncertainty in foreign exchange markets
16 references·11 citing·42 second hop
Profits, risk, and uncertainty in foreign exchange markets (1993)Profits, risk, and uncertainty in foreign…Simulation estimation of time-series models (1991)Simulation estimation of time…International Evidence on the Historical Properties of Business Cycles (1991)International Evidence on the…Simulated Moments Estimation of Markov Models of Asset Prices (1990)Simulated Moments Estimation …A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)A multivariate generalized AR…Forward Discount Bias: Is it an Exchange Risk Premium? (1989)Forward Discount Bias: Is it …Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange (1989)Changing Beliefs and Systemat…Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations (1986)Using Survey Data to Test Sta…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…The equity premium: A puzzle (1985)The equity premium: A puzzleConditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …Forward and spot exchange rates (1984)Forward and spot exchange rat…An investigation of risk and return in forward foreign exchange (1984)An investigation of risk and …Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models (1983)Risk Averse Speculation in th…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…The impact of uncertainty on professional exchange rate forecasts (2017)The impact of uncertainty on …Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium (2007)Time-Varying Risk, Interest R…Aggregate and disaggregate measures of the foreign exchange risk premium (2002)Aggregate and disaggregate me…Is the foreign exchange market ‘risky’? Some new survey-based results (2000)Is the foreign exchange marke…The Foreign Exchange Risk Premium: Real and Nominal Factors (1999)The Foreign Exchange Risk Pre…Monetary Policy's Role in Exchange Rate Behavior (1999)Monetary Policy's Role in Exc…Foreign Exchange Risk Premium: Does Fiscal Policy Matter? Evidence From Italian Data (1997)Foreign Exchange Risk Premium…Sensitivity Analysis and Model Evaluation in Simulated Dynamic General Equilibrium Economies (1995)Sensitivity Analysis and Mode…Predicting excess returns in financial markets (1995)Predicting excess returns in …The Implications of First-Order Risk Aversion for Asset Market Risk Premiums (1994)The Implications of First-Ord…Statistical inference in calibrated models (1994)Statistical inference in cali…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The statistical properties of daily foreign exchange rates: 1974–1983 (1988)Nonparametric exchange rate prediction? 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(2005)Investor Psychology and Security Market Under‐ and Overreactions (1998)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1991International Evidence on the Historical Properties of Business Cycles823 cited
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 1989Forward Discount Bias: Is it an Exchange Risk Premium?715 cited
  • 1990Simulated Moments Estimation of Markov Models of Asset Prices617 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1986Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations432 cited
  • 1991Simulation estimation of time-series models395 cited
  • 1984An investigation of risk and return in forward foreign exchange322 cited
  • 1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets294 cited
  • 1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

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276 cited
  • 1989Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange256 cited
  • Cited by

    • 1994Statistical inference in calibrated models122 cited
    • 1995Sensitivity Analysis and Model Evaluation in Simulated Dynamic General Equilibrium Economies76 cited
    • 1994The Implications of First-Order Risk Aversion for Asset Market Risk Premiums61 cited
    • 2017The impact of uncertainty on professional exchange rate forecasts50 cited
    • 1999The Foreign Exchange Risk Premium: Real and Nominal Factors49 cited
    • 1999Monetary Policy's Role in Exchange Rate Behavior29 cited
    • 1997Foreign Exchange Risk Premium: Does Fiscal Policy Matter? Evidence From Italian Data26 cited
    • 2000Is the foreign exchange market ‘risky’? Some new survey-based results23 cited
    • 2002Aggregate and disaggregate measures of the foreign exchange risk premium22 cited
    • 1995Predicting excess returns in financial markets22 cited
    • 2007Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium11 cited