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Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate
16 references·13 citing·30 second hop
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate (1988)Endogenous risk in a portfolio-balance ra…The variation of certain speculative prices (1997)The variation of certain spec…MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION (1992)MONETARY AND PORTFOLIO-BALANC…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Modelling the persistence of conditional variances (1986)Modelling the persistence of …Modeling The persistence Of Conditional Variances: A Comment (1986)Modeling The persistence Of C…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Conditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …The Specification and Influence of Asset Markets (1984)The Specification and Influen…Forward and spot exchange rates (1984)Forward and spot exchange rat…Estimates of the Variance of U. S. Inflation Based upon the ARCH Model (1983)Estimates of the Variance of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Formulating and estimating dynamic linear rational expectations models (1980)Formulating and estimating dy…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…International macroeconomics with imperfect financial markets (2022)International macroeconomics …International Liquidity and Exchange Rate Dynamics (2014)International Liquidity and E…Financial volatility: Issues and measuring techniques (2008)Financial volatility: Issues …Asian Pacific Stock Market Volatility Modeling and Value at Risk Analysis (2006)Asian Pacific Stock Market Vo…Generalized asymmetric power ARCH modelling of exchange rate volatility (2002)Generalized asymmetric power …A comparison between neural networks and chaotic models for exchange rate prediction (1999)A comparison between neural n…Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach (1998)Endogenous risk in rational-e…A multivariate GARCH model of risk premia in foreign exchange markets (1997)A multivariate GARCH model of…ARCH effects and cointegration: Is the foreign exchange market efficient? (1996)ARCH effects and cointegratio…Testing for non-linear dependence in inter-war exchange rates (1994)Testing for non-linear depend…Multivariate nearest-neighbour forecasts of ems exchange rates (1992)Multivariate nearest-neighbou…Equities and the UK exchange rate (1992)Equities and the UK exchange …Survey Data on Expectations: What Have We Learnt? (1991)Survey Data on Expectations: …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1980Formulating and estimating dynamic linear rational expectations models877 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1983Estimates of the Variance of U. S. Inflation Based upon the ARCH Model462 cited
  • 1992MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION438 cited
  • 1986Modeling The persistence Of Conditional Variances: A Comment

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437 cited
  • 1984The Specification and Influence of Asset Markets367 cited
  • Cited by

    • 1992Multivariate nearest-neighbour forecasts of ems exchange rates88 cited
    • 1999A comparison between neural networks and chaotic models for exchange rate prediction87 cited
    • 2008Financial volatility: Issues and measuring techniques82 cited
    • 2002Generalized asymmetric power ARCH modelling of exchange rate volatility68 cited
    • 2022International macroeconomics with imperfect financial markets50 cited
    • 2014International Liquidity and Exchange Rate Dynamics42 cited
    • 1991Survey Data on Expectations: What Have We Learnt?38 cited
    • 1998Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach38 cited
    • 1996ARCH effects and cointegration: Is the foreign exchange market efficient?33 cited
    • 2006Asian Pacific Stock Market Volatility Modeling and Value at Risk Analysis30 cited
    • 1994Testing for non-linear dependence in inter-war exchange rates29 cited
    • 1997A multivariate GARCH model of risk premia in foreign exchange markets27 cited
    • 1992Equities and the UK exchange rate18 cited