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A Non‐Linear Analysis of Excess Foreign Exchange Returns
16 references·1 citing·53 second hop
A Non‐Linear Analysis of Excess Foreign Exchange Returns (2001)A Non‐Linear Analysis of Excess Foreign E…The forward premium anomaly is not as bad as you think (2000)The forward premium anomaly i…Detecting periodically collapsing bubbles: a Markov-switching unit root test (1999)Detecting periodically collap…Inference in TAR Models (1997)Inference in TAR ModelsA floor and ceiling model of US output (1997)A floor and ceiling model of …The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Testing the adequacy of smooth transition autoregressive models (1996)Testing the adequacy of smoot…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Puzzles in International Financial Markets (1994)Puzzles in International Fina…Testing for neglected nonlinearity in time series models (1993)Testing for neglected nonline…Nonlinear Dynamic Structures (1993)Nonlinear Dynamic StructuresExactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models (1993)Exactly Median-Unbiased Estim…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Charts, Noise and Fundamentals in the London Foreign Exchange Market (1990)Charts, Noise and Fundamental…Evidence of Nonlinearity in Daily Stock Returns (1985)Evidence of Nonlinearity in D…DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…Smooth-transition error-correction in exchange rates (2005)Smooth-transition error-corre…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Time Series Analysis: Forecasting and Control (1977)Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)The General Theory of Employment, Interest and Money. 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this work references cited by second hop

References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,124 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 1997Inference in TAR Models636 cited
  • 1996Testing the adequacy of smooth transition autoregressive models536 cited
  • 1994Puzzles in International Financial Markets523 cited
  • 1993Testing for neglected nonlinearity in time series models498 cited
  • 1993Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models470 cited
  • 1993Nonlinear Dynamic Structures437 cited
  • 1990Charts, Noise and Fundamentals in the London Foreign Exchange Market394 cited
  • 2000The forward premium anomaly is not as bad as you think330 cited
  • 1985Evidence of Nonlinearity in Daily Stock Returns289 cited
  • 1999Detecting periodically collapsing bubbles: a Markov-switching unit root test251 cited

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1997
A floor and ceiling model of US output
225 cited

Cited by

  • 2005Smooth-transition error-correction in exchange rates10 cited