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Empirical exchange rate models and currency risk: some evidence from density forecasts · Study

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ArticleEmpirical exchange rate models and currency risk: some evidence from density forecasts

Lucio Sarno2005

OA

Articlegreen2005

Empirical exchange rate models and currency risk: some evidence from density forecasts

Lucio Sarno · Giorgio Valente

76 citations·0/0 files stored·Journal of International Money and Finance

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 76 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1994Comparing Predictive Accuracy 1983Empirical exchange rate models of the seventies 1982Modern Portfolio Theory and Investment Analysis.1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 2000Value At Risk: The New Benchmark for Managing Financial Risk

Cited by

2003Time Series Concepts for Conditional Distributions*2004Properties of realized variance for a pure jump process: calendar time sampling versus business time sampling 2009A copula‐based regime‐switching GARCH model for optimal futures hedging 2006Pricing multivariate currency options with copulas 2008Optimal futures hedging under jump switching dynamics 2007Estimation of a microfounded herding model on German survey expectations

Details

Year2005

Typearticle

Published2005-01-19

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations76

Files0 public / 0

ShelfForecasting Techniques and Applications

Identifiers

doi10.1016/j.jimonfin.2004.12.011

openalex_workW2120744642

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