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Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your p 's and q 's!
16 references·9 citing·36 second hop
Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your p 's and q 's! (2005)Evaluating the Predictability of Exchange…Empirical exchange rate models of the nineties: Are any fit to survive? (2005)Empirical exchange rate model…Exchange Rates and Fundamentals (2004)Exchange Rates and Fundamenta…Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Why is it so difficult to bea…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Nonlinear Mean‐Reversion in R…Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions? (1999)Exchange rates and monetary f…Tests for Forecast Encompassing (1998)Tests for Forecast Encompassi…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Empirical research on nominal exchange rates (1995)Empirical research on nominal…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyWas It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Was It Real? The Exchange Rat…Econometric Evaluation of Linear Macro-Economic Models (1986)Econometric Evaluation of Lin…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…The Exchange Rate, The Balance Of Payments and Monetary and Fiscal Policy Under A Regime of Controlled Floating (1977)The Exchange Rate, The Balanc…A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)A Monetary Approach To The Ex…Out-of-sample equity premium prediction: a complete subset quantile regression approach (2019)Out-of-sample equity premium …When Are Pooled Panel‐Data Regression Forecasts of Exchange Rates More Accurate than the Time‐Series Regression Forecasts? (2012)When Are Pooled Panel‐Data Re…Performance, stock selection and market timing of the German equity mutual fund industry (2012)Performance, stock selection …False Discoveries in UK Mutual Fund Performance (2010)False Discoveries in UK Mutua…Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment (2006)Conventional and Unconvention…Predictive Density Evaluation (2005)Predictive Density EvaluationNonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes (2005)Nonparametric Bootstrap Proce…Model Confidence Sets for Forecasting Models (2005)Model Confidence Sets for For…International Protection of Intellectual Property: An Empirical Investigation (2004)International Protection of I…Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Macroeconomics and Reality (1980)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)The Purchasing-Power Parity Doctrine: A Reappraisal (1964)Theoretical Notes on Trade Problems (1964)On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)The Economics of Exchange Rates (2003)The Purchasing Power Parity Debate (2004)The Quarterly Journal of Economics (2024)Rank Correlation Methods. (1957)Comparing Predictive Accuracy (1995)Pooling of forecasts (2004)Time-Varying Risk Premiums and the Output Gap (2008)Short interest and aggregate stock returns (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time to Build and Aggregate Fluctuations (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Order Flow and Exchange Rate Dynamics (1999)In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)Statistical analysis of cointegration vectors (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Exchange Rates and Fundamentals (2005)Multiproduct Firms and Trade Liberalization (2011)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)The Purchasing Power Parity Puzzle (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)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles1,004 cited
  • 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
  • 1988Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period825 cited
  • 1998Tests for Forecast Encompassing786 cited
  • 2003Why is it so difficult to beat the random walk forecast of exchange rates?784 cited
  • 2004Exchange Rates and Fundamentals723 cited
  • 2005Empirical exchange rate models of the nineties: Are any fit to survive?717 cited
  • 1986Econometric Evaluation of Linear Macro-Economic Models601 cited
  • 1995Empirical research on nominal exchange rates521 cited
  • 1977The Exchange Rate, The Balance Of Payments and Monetary and Fiscal Policy Under A Regime of Controlled Floating

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480 cited
  • 1999Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?429 cited
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    • 2005Predictive Density Evaluation42 cited
    • 2012Performance, stock selection and market timing of the German equity mutual fund industry38 cited
    • 2005Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes37 cited
    • 2019Out-of-sample equity premium prediction: a complete subset quantile regression approach28 cited
    • 2006Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment15 cited
    • 2004International Protection of Intellectual Property: An Empirical Investigation6 cited