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Our currency, your attention: Contagion spillovers of investor attention on currency returns
16 references·0 citing·46 second hop
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References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2011In Search of Attention3,088 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
  • 2006Investor attention, overconfidence and category learning1,451 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 1999New Directions for Stochastic Open Economy Models884 cited
  • 2006Asymptotics for out of sample tests of Granger causality697 cited
  • 2014Investor Attention and Stock Market Volatility569 cited
  • 2001A test for volatility spillover with application to exchange rates443 cited
  • 2007Exchange Rate Models Are Not as Bad as You Think431 cited
  • 2010Financial crises and stock market contagion in a multivariate time-varying asymmetric framework424 cited
  • 2014Investor attention, index performance, and return predictability

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391 cited
  • 2011Volatility transmission in emerging European foreign exchange markets337 cited
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