SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stylized Facts of Nominal Exchange Rate Returns
16 references·16 citing·42 second hopsampled
Stylized Facts of Nominal Exchange Rate Returns (1994)Stylized Facts of Nominal Exchange Rate R…Modelling Financial Time Series (2007)Modelling Financial Time Seri…The variation of certain speculative prices (1997)The variation of certain spec…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Forward and spot exchange rates (1984)Forward and spot exchange rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Specification Tests in Econometrics (1978)Specification Tests in Econom…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Théorie de la spéculation (1900)Théorie de la spéculationFinancial Economics, Fat-Tailed Distributions (2011)Financial Economics, Fat-Tail…Model‐free evaluation of directional predictability in foreign exchange markets (2007)Model‐free evaluation of dire…A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY (2007)A NOISE TRADER MODEL AS A GEN…Parliamentary Politics and Foreign Exchange Markets: The World According to GARCH (2006)Parliamentary Politics and Fo…Empirical distributions of stock returns: between the stretched exponential and the power law? (2005)Empirical distributions of st…The Yen, The US dollar and The Speculative Attacks Against The Thailand Baht (2004)The Yen, The US dollar and Th…Successful and Unsuccessful Attacks: Evaluating the Stability of the East Asian Currencies (2004)Successful and Unsuccessful A…Exchange Rate Volatility and Democratization in Emerging Market Countries (2003)Exchange Rate Volatility and …Cointegration and the Monetary Exchange Rate Model Revisited* (2002)Cointegration and the Monetar…Testing for non-linear structure in an artificial financial market (2001)Testing for non-linear struct…Significance of Log-Periodic Precursors to Financial Crashes (2001)Significance of Log-Periodic …Private or Public Information in Foreign Exchange Markets? An Empirical Analysis (2001)Private or Public Information…Large stock market price drawdowns are outliers (2001)Large stock market price draw…Private or public information in foreign exchange markets? An empirical analysis (2000)Private or public information…Long horizon predictability of exchange rates: Is it for real? (1999)Long horizon predictability o…Cointegration Testing Using Pseudolikelihood Ratio Tests (1997)Cointegration Testing Using P…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)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Some recent development in a concept of causality (1988)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)On the Pooling of Time Series and Cross Section Data (1978)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)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)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1978Specification Tests in Econometrics18,788 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1900Théorie de la spéculation2,605 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1990

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

ARCH models as diffusion approximations
943 cited

Cited by

  • 2005Empirical distributions of stock returns: between the stretched exponential and the power law?191 cited
  • 2001Large stock market price drawdowns are outliers163 cited
  • 2001Significance of Log-Periodic Precursors to Financial Crashes144 cited
  • 2001Testing for non-linear structure in an artificial financial market102 cited
  • 2007A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY73 cited
  • 2003Exchange Rate Volatility and Democratization in Emerging Market Countries68 cited
  • 2006Parliamentary Politics and Foreign Exchange Markets: The World According to GARCH63 cited
  • 1999Long horizon predictability of exchange rates: Is it for real?60 cited
  • 2007Model‐free evaluation of directional predictability in foreign exchange markets49 cited
  • 1997Cointegration Testing Using Pseudolikelihood Ratio Tests46 cited
  • 2002Cointegration and the Monetary Exchange Rate Model Revisited*43 cited
  • 2000Private or public information in foreign exchange markets? An empirical analysis41 cited
  • 2011Financial Economics, Fat-Tailed Distributions40 cited
  • 2001Private or Public Information in Foreign Exchange Markets? An Empirical Analysis36 cited
  • 2004The Yen, The US dollar and The Speculative Attacks Against The Thailand Baht35 cited
  • 2004Successful and Unsuccessful Attacks: Evaluating the Stability of the East Asian Currencies34 cited