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Testing the relative purchasing power parity hypothesis: the case of Korea
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Testing the relative purchasing power parity hypothesis: the case of Korea (2015)Testing the relative purchasing power par…The Quarterly Journal of Economics (2024)The Quarterly Journal of Econ…Out-of-sample exchange rate predictability with Taylor rule fundamentals (2008)Out-of-sample exchange rate p…Selection of estimation window in the presence of breaks (2006)Selection of estimation windo…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…Commodity currencies (2003)Commodity currenciesPPP Strikes Back: Aggregation And the Real Exchange Rate (2002)PPP Strikes Back: Aggregation…Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Nonlinear Mean‐Reversion in R…Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals (2000)Nonlinear adjustment, long-ru…Accounting for U.S. Real Exchange Rate Changes (1999)Accounting for U.S. Real Exch…The Purchasing Power Parity Puzzle (1996)The Purchasing Power Parity P…Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries (1996)Real Exchange Rate Behavior: …Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Real Exchange Rates under the Gold Standard (1991)Real Exchange Rates under the…Purchasing Power Parity in the Long Run (1990)Purchasing Power Parity in th…Deviations from Purchasing Power Parity in the Long Run (1983)Deviations from Purchasing Po…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…ASYMMETRY IN THE STOCK PRICE RESPONSE TO MACROECONOMIC SHOCKS: EVIDENCE FROM THE KOREAN MARKET (2018)ASYMMETRY IN THE STOCK PRICE …The Combination of Forecasts (1969)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Combining forecasts: A review and annotated bibliography (1989)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)DeepAR: Probabilistic forecasting with autoregressive recurrent networks (2019)Expectations and Exchange Rate Dynamics (1976)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)The overvaluation of purchasing power parity (1998)The Economics of Exchange Rates (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)An Intertemporal Capital Asset Pricing Model (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Industry costs of equity (1997)A five-factor asset pricing model (2014)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Empirical exchange rate models of the seventies (1983)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Trade Policy and Economic Growth: A Skeptic's Guide to the Cross-National Evidence (2000)The New Politics of the Welfare State (2001)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002)Testing for a unit root in the nonlinear STAR framework (2002)The Purchasing Power Parity Debate (2004)How Big Is the Random Walk in GNP? (1988)Foundations of International Macroeconomics (1997)New Directions for Stochastic Open Economy Models (1999)Pricing-to-Market, Trade Costs, and International Relative Prices (2008)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The Modern History of Exchange Rate Arrangements: A Reinterpretation (2004)The Puzzling Persistence of the Distance Effect on Bilateral Trade (2008)Oil prices, exchange rates and emerging stock markets (2011)Unit root tests for panel data (2001)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A Theory of Fairness, Competition, and Cooperation (1999)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)The Skill Content of Recent Technological Change: An Empirical Exploration (2003)
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References

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  • 2024The Quarterly Journal of Economics7,413 cited
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  • 2006Chapter 4 Forecast Combinations1,318 cited
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  • 2002PPP Strikes Back: Aggregation And the Real Exchange Rate478 cited
  • 2000Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals455 cited
  • 2008Out-of-sample exchange rate predictability with Taylor rule fundamentals436 cited
  • 1991

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Real Exchange Rates under the Gold Standard
415 cited

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  • 2018ASYMMETRY IN THE STOCK PRICE RESPONSE TO MACROECONOMIC SHOCKS: EVIDENCE FROM THE KOREAN MARKET19 cited