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Risk, Uncertainty and Exchange Rates
11 references·16 citing·50 second hop
Risk, Uncertainty and Exchange Rates (1987)Risk, Uncertainty and Exchange RatesThe Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…Dynamic Macroeconomic Theory (1988)Dynamic Macroeconomic TheoryModelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Forward and spot exchange rates (1984)Forward and spot exchange rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence (1982)International Interest-Rate a…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Econometric policy evaluation: A critique (1976)Econometric policy evaluation…The Disease Outbreak Channel of Exchange Rate Return Predictability: Evidence from COVID-19 (2020)The Disease Outbreak Channel …Uncertainty and currency crises: Evidence from survey data (2010)Uncertainty and currency cris…Risk Appetite and Exchange Rates (2009)Risk Appetite and Exchange Ra…Do asymmetric and nonlinear adjustments explain the forward premium anomaly? (2005)Do asymmetric and nonlinear a…Rational speculation and exchange rates (2004)Rational speculation and exch…Are correlations of stock returns justified by subsequent changes in national outputs? (2003)Are correlations of stock ret…The Microstructure of the Foreign-Exchange Market: A Selective Survey of the Literature (2001)The Microstructure of the For…Real exchange-rate prediction over long horizons (1997)Real exchange-rate prediction…Central bank intervention and risk in the forward market (1997)Central bank intervention and…The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective (1996)The Time Variation of Risk an…The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)The Forward Discount Anomaly …Nonparametric estimation of structural models for high-frequency currency market data (1995)Nonparametric estimation of s…A New Approach to International Arbitrage Pricing (1993)A New Approach to Internation…A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)A multivariate generalized AR…Tests of international CAPM with time‐varying covariances (1989)Tests of international CAPM w…Stock prices under time-varying dividend risk (1988)Stock prices under time-varyi…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)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)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)Immiserizing Growth: A Geometrical Note (1958)Theory of Value (1959)Trying to Explain Home Bias in Equities and Consumption (1999)The Economics of Exchange Rates (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)A Theory of the Consumption Function (1960)Some International Evidence on Output-Inflation Tradeoffs. (1973)The Role of Monetary Policy (1995)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Does Culture Affect Economic Outcomes? (2006)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)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)Oil prices and the rise and fall of the US real exchange rate (1998)Affine Term Structure Models and the Forward Premium Anomaly (2001)A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)The Sustainability of Budget Deficits in a Stochastic Economy (1995)Rational Asset Pricing Bubbles (1997)Term Structure of Interest Rates with Regime Shifts (2002)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1976Econometric policy evaluation: A critique6,104 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1988Dynamic Macroeconomic Theory690 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 1982International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence369 cited

Cited by

  • 1995The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence315 cited
  • 1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets294 cited
  • 2010Uncertainty and currency crises: Evidence from survey data249 cited
  • 2020The Disease Outbreak Channel of Exchange Rate Return Predictability: Evidence from COVID-19

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229 cited
  • 1996The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective199 cited
  • 1993A New Approach to International Arbitrage Pricing182 cited
  • 2003Are correlations of stock returns justified by subsequent changes in national outputs?174 cited
  • 2005Do asymmetric and nonlinear adjustments explain the forward premium anomaly?156 cited
  • 1988Stock prices under time-varying dividend risk151 cited
  • 1997Central bank intervention and risk in the forward market147 cited
  • 1989Tests of international CAPM with time‐varying covariances147 cited
  • 1995Nonparametric estimation of structural models for high-frequency currency market data130 cited
  • 2009Risk Appetite and Exchange Rates114 cited
  • 1997Real exchange-rate prediction over long horizons111 cited
  • 2001The Microstructure of the Foreign-Exchange Market: A Selective Survey of the Literature110 cited
  • 2004Rational speculation and exchange rates100 cited