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ArticleExchange rates and fundamentals: evidence on the economic value of predictability

Abhay H. Abhyankar2004

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Articlegreen2004

Exchange rates and fundamentals: evidence on the economic value of predictability

Abhay H. Abhyankar · Lucio Sarno · Giorgio Valente

141 citations·0/0 files stored·Journal of International Economics

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Forecasting Techniques and Applications

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References

1973An Intertemporal Capital Asset Pricing Model 1994Comparing Predictive Accuracy 1983Empirical exchange rate models of the seventies 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1995Exchange Rate Dynamics Redux 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS

Cited by

2005Towards a solution to the puzzles in exchange rate economics: where do we stand?2007Do Euro exchange rates follow a martingale? Some out-of-sample evidence 2013On policymakers’ loss functions and the evaluation of early warning systems 2012The predictive information content of external imbalances for exchange rate returns: How much is it worth?2006Early warning systems for sovereign debt crises: The role of heterogeneity 2008The Monetary Model Strikes Back

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Year2004

Typearticle

Published2004-12-29

VenueJournal of International Economics

ISSN-L0022-1996

Languageen

Citations141

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jinteco.2004.09.003

openalex_workW2147203180

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2009The economic value of fundamental and technical information in emerging currency markets

2007Overnight information and stochastic volatility: A study of European and US stock exchanges