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Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?
16 references·12 citing·40 second hop
Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk? (2014)Predicting Exchange Rates Out of Sample: …Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Monetary policy rules in practice (1998)Monetary policy rules in prac…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Forward and spot exchange rates (1984)Forward and spot exchange rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…The Combination of Forecasts (1969)The Combination of ForecastsForecasting crude oil futures market returns: A principal component analysis combination approach (2022)Forecasting crude oil futures…Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment (2021)Forecasting stock return vola…Forecasting US stock market volatility: How to use international volatility information (2020)Forecasting US stock market v…Exchange rate predictability and dynamic Bayesian learning (2020)Exchange rate predictability …Fundamentals and exchange rate forecastability with simple machine learning methods (2018)Fundamentals and exchange rat…Do industry returns predict the stock market? A reprise using the random forest (2018)Do industry returns predict t…The Role of Technical Indicators in Exchange Rate Forecasting (2017)The Role of Technical Indicat…The Real Exchange Rate, the Ghanaian Trade Balance, and the J-curve (2017)The Real Exchange Rate, the G…ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY (2017)ON THE SOURCES OF UNCERTAINTY…Heterogeneous agents, the financial crisis and exchange rate predictability (2015)Heterogeneous agents, the fin…Sparse and Stable Portfolio Selection With Parameter Uncertainty (2014)Sparse and Stable Portfolio S…Forecasting Exchange Rates under Parameter and Model Uncertainty (2014)Forecasting Exchange Rates un…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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Rules, discretion and reputation in a model of monetary policy (1983)The Science of Monetary Policy: A New Keynesian Perspective (1999)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)
this work references cited by second hop

References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1969The Combination of Forecasts3,194 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1998Monetary policy rules in practice2,206 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited

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  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • Cited by

    • 2014Sparse and Stable Portfolio Selection With Parameter Uncertainty88 cited
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    • 2022Forecasting crude oil futures market returns: A principal component analysis combination approach80 cited
    • 2017ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY66 cited
    • 2014Forecasting Exchange Rates under Parameter and Model Uncertainty64 cited
    • 2021Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment53 cited
    • 2020Exchange rate predictability and dynamic Bayesian learning42 cited
    • 2017The Role of Technical Indicators in Exchange Rate Forecasting42 cited
    • 2017The Real Exchange Rate, the Ghanaian Trade Balance, and the J-curve38 cited
    • 2015Heterogeneous agents, the financial crisis and exchange rate predictability35 cited
    • 2018Do industry returns predict the stock market? A reprise using the random forest33 cited
    • 2020Forecasting US stock market volatility: How to use international volatility information30 cited