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Financial stress and its non-linear impact on CEE exchange rates
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Financial stress and its non-linear impact on CEE exchange rates (2018)Financial stress and its non-linear impac…Cortisol shifts financial risk preferences (2014)Cortisol shifts financial ris…On the international transmission of shocks: Micro-evidence from mutual fund portfolios (2012)On the international transmis…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Volatility transmission in emerging European foreign exchange markets (2011)Volatility transmission in em…Methods for Applied Macroeconomic Research (2011)Methods for Applied Macroecon…Getting beyond carry trade: What makes a safe haven currency? (2011)Getting beyond carry trade: W…Safe Haven Currencies (2010)Safe Haven CurrenciesBayesian Multivariate Time Series Methods for Empirical Macroeconomics (2010)Bayesian Multivariate Time Se…Large Bayesian vector auto regressions (2009)Large Bayesian vector auto re…Methods for Applied Macroeconomic Research (2007)Methods for Applied Macroecon…Measuring financial stress in a developed country: An application to Canada (2006)Measuring financial stress in…Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? (2005)Viewpoint: Towards a solution…Value-at-risk versus expected shortfall: A practical perspective (2004)Value-at-risk versus expected…Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Nonlinear Mean‐Reversion in R…State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications (2000)State-Space Models with Regim…Can the Markov switching model forecast exchange rates? (1994)Can the Markov switching mode…Global uncertainties and Australian financial markets: Quantile time-frequency connectedness (2024)Global uncertainties and Aust…Empirical exchange rate models of the seventies (1983)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)Forecasting the U.S. Unemployment Rate (1998)The out-of-sample success of term structure models as exchange rate predictors: a step beyond (2003)ARCH modeling in finance (1992)Currency crashes in emerging markets: An empirical treatment (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Financial stress and economic contractions (2010)Financial stability, energy consumption and environmental quality: Evidence from South Asian economies (2016)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Prior Selection for Vector Autoregressions (2014)U.S. Monetary Policy and the Global Financial Cycle (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Currency momentum strategies (2012)Conditional risk premia in currency markets and other asset classes (2014)Intermediary asset pricing: New evidence from many asset classes (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)The Purchasing Power Parity Debate (2004)Exchange Rates and Fundamentals (2005)Multiproduct Firms and Trade Liberalization (2011)Liquidity Risk and Expected Stock Returns (2003)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)A Theory of Demand Shocks (2009)WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS (2012)Panel Vector Autoregressive Models: A Survey (2013)Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)A Manifesto on Psychology as Idiographic Science: Bringing the Person Back Into Scientific Psychology, This Time Forever (2004)Modeling the price dynamics of CO2 emission allowances (2008)What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound? (2012)Large time-varying parameter VARs (2013)Shocking Language: Understanding the Macroeconomic Effects of Central Bank Communication (2015)The Econometrics of DSGE Models (2009)Uncertainty shocks and unemployment dynamics in U.S. recessions (2014)
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References

  • 2009Large Bayesian vector auto regressions1,158 cited
  • 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,153 cited
  • 2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles1,004 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2010Bayesian Multivariate Time Series Methods for Empirical Macroeconomics644 cited
  • 2011Methods for Applied Macroeconomic Research573 cited
  • 2006Measuring financial stress in a developed country: An application to Canada569 cited
  • 2007Methods for Applied Macroeconomic Research515 cited
  • 2010Safe Haven Currencies488 cited
  • 1994Can the Markov switching model forecast exchange rates?415 cited
  • 2011Volatility transmission in emerging European foreign exchange markets337 cited
  • 2004Value-at-risk versus expected shortfall: A practical perspective334 cited
  • 2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?273 cited
  • 2014Cortisol shifts financial risk preferences231 cited
  • 2011Getting beyond carry trade: What makes a safe haven currency?

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210 cited
  • 2012On the international transmission of shocks: Micro-evidence from mutual fund portfolios204 cited
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    • 2024Global uncertainties and Australian financial markets: Quantile time-frequency connectedness55 cited