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Markov switching in exchange rate models: will more regimes help?
16 references·2 citing·38 second hop
Markov switching in exchange rate models: will more regimes help? (2019)Markov switching in exchange rate models:…The impact of oil shocks on exchange rates: A Markov-switching approach (2015)The impact of oil shocks on e…Expectations of Returns and Expected Returns (2014)Expectations of Returns and E…Imperfect Knowledge Economics: Exchange Rates and Risk (2007)Imperfect Knowledge Economics…Empirical exchange rate models of the nineties: Are any fit to survive? (2005)Empirical exchange rate model…Exchange rate puzzles: A tale of switching attractors (2004)Exchange rate puzzles: A tale…Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Why is it so difficult to bea…Currency traders and exchange rate dynamics: a survey of the US market (2001)Currency traders and exchange…Handbook of macroeconomics (1999)Handbook of macroeconomicsA panel project on purchasing power parity: Mean reversion within and between countries (1996)A panel project on purchasing…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyCan the Markov switching model forecast exchange rates? (1994)Can the Markov switching mode…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)On the Mark: A Theory of Floa…Narratology and Other Disciplines (2021)Narratology and Other Discipl…How Market Sentiment Drives Forecasts of Stock Returns (2020)How Market Sentiment Drives F…Domestic Financial Policies Under Fixed and Under Floating Exchange Rates (1962)A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Exchange Rates and Fundamentals (2004)How Big Is the Random Walk in GNP? (1988)ARCH modeling in finance (1992)The Economics of Exchange Rates (2003)Introductory Econometrics for Finance (2008)Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Noise Trader Risk in Financial Markets (1990)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)X-CAPM: An extrapolative capital asset pricing model (2014)Diagnostic Expectations and Credit Cycles (2017)Manager sentiment and stock returns (2018)The Purchasing Power Parity Puzzle (1996)Exchange Rates and Fundamentals (2005)In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)Model uncertainty in cross‐country growth regressions (2001)The Aggregate Demand for Treasury Debt (2012)International Financial Adjustment (2007)Exchange Rate Predictability (2013)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

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  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1999Handbook of macroeconomics1,276 cited
  • 2014Expectations of Returns and Expected Returns1,187 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1979On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials955 cited
  • 2003Why is it so difficult to beat the random walk forecast of exchange rates?784 cited
  • 2005Empirical exchange rate models of the nineties: Are any fit to survive?717 cited
  • 1996A panel project on purchasing power parity: Mean reversion within and between countries681 cited
  • 2001Currency traders and exchange rate dynamics: a survey of the US market539 cited
  • 1994Can the Markov switching model forecast exchange rates?415 cited
  • 2007Imperfect Knowledge Economics: Exchange Rates and Risk278 cited
  • 2004Exchange rate puzzles: A tale of switching attractors258 cited

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  • 2015The impact of oil shocks on exchange rates: A Markov-switching approach253 cited
  • Cited by

    • 2020How Market Sentiment Drives Forecasts of Stock Returns55 cited
    • 2021Narratology and Other Disciplines0 cited