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The multiscale causal dynamics of foreign exchange markets
16 references·16 citing·36 second hopsampled
The multiscale causal dynamics of foreign exchange markets (2012)The multiscale causal dynamics of foreign…Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Nonlinear Time Series Models in Empirical Finance (2000)Nonlinear Time Series Models …Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyTesting for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyFurther Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Noise (1986)NoiseEmpirical exchange rate models of the seventies (1983)Empirical exchange rate model…Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Measurement of Linear Depende…Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Rational Expectation…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…An empirical analysis of the dynamic relationship between clean and dirty energy markets (2023)An empirical analysis of the …Combining Deep Learning and Multiresolution Analysis for Stock Market Forecasting (2021)Combining Deep Learning and M…The dynamic relationship between bitcoin and the foreign exchange market: A nonlinear approach to test causality between bitcoin and currencies (2020)The dynamic relationship betw…Relationship between the United States housing and stock markets: Some evidence from wavelet analysis (2019)Relationship between the Unit…Interdependence of Major Exchange Rates in Ghana: A Wavelet Coherence Analysis (2019)Interdependence of Major Exch…Causal structure among US corn futures and regional cash prices in the time and frequency domain (2018)Causal structure among US cor…Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach (2018)Causal effects of the United …Information Entropy and Measures of Market Risk (2017)Information Entropy and Measu…Comovements of gold futures markets and the spot market: A wavelet analysis (2017)Comovements of gold futures m…Co-movement of real exchange rates in the West African Monetary Zone (2017)Co-movement of real exchange …Predicting Systemic Risk with Entropic Indicators (2016)Predicting Systemic Risk with…On the time scale behavior of equity-commodity links: Implications for portfolio management (2015)On the time scale behavior of…Comovement of Exchange Rates: A Wavelet Analysis (2015)Comovement of Exchange Rates:…Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the Euro area (2015)Business cycle (de)synchroniz…Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements (2013)Structural breaks and long me…Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets (2009)Fuzzy adaptive decision-makin…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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive 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short-term memory networks for financial market predictions (2017)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis3,283 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 1982Measurement of Linear Dependence and Feedback Between Multiple Time Series2,056 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • 1986Noise1,783 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1982Bubbles, Rational Expectations and Financial Markets

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1,130 cited
  • 2000Nonlinear Time Series Models in Empirical Finance1,111 cited
  • Cited by

    • 2018Causal structure among US corn futures and regional cash prices in the time and frequency domain102 cited
    • 2023An empirical analysis of the dynamic relationship between clean and dirty energy markets74 cited
    • 2013Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements66 cited
    • 2018Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach66 cited
    • 2015On the time scale behavior of equity-commodity links: Implications for portfolio management66 cited
    • 2021Combining Deep Learning and Multiresolution Analysis for Stock Market Forecasting61 cited
    • 2009Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets53 cited
    • 2020The dynamic relationship between bitcoin and the foreign exchange market: A nonlinear approach to test causality between bitcoin and currencies47 cited
    • 2017Information Entropy and Measures of Market Risk47 cited
    • 2015Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the Euro area38 cited
    • 2017Comovements of gold futures markets and the spot market: A wavelet analysis38 cited
    • 2017Co-movement of real exchange rates in the West African Monetary Zone38 cited
    • 2015Comovement of Exchange Rates: A Wavelet Analysis37 cited
    • 2019Interdependence of Major Exchange Rates in Ghana: A Wavelet Coherence Analysis36 cited
    • 2019Relationship between the United States housing and stock markets: Some evidence from wavelet analysis36 cited
    • 2016Predicting Systemic Risk with Entropic Indicators34 cited