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The out-of-sample success of term structure models as exchange rate predictors: a step beyond
16 references·16 citing·37 second hopsampled
The out-of-sample success of term structure models as exchange rate predictors: a step beyond (2003)The out-of-sample success of term structu…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? (2000)The Six Major Puzzles in Inte…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…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…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…What Does the Yield Curve Tell Us about Exchange Rate Predictability? (2011)What Does the Yield Curve Tel…IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS* (2009)IMPROVING FORECAST ACCURACY B…Currency carry trade regimes: Beyond the Fama regression (2009)Currency carry trade regimes:…Bayesian Model Averaging and exchange rate forecasts (2008)Bayesian Model Averaging and …The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates* (2006)The Role of Asymmetries and R…Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (2006)Nonlinearity in Deviations fr…Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? (2006)Deviations from purchasing po…Chapter 5 Predictive Density Evaluation (2006)Chapter 5 Predictive Density …Can Markov Switching Models Predict Excess Foreign Exchange Returns? (2006)Can Markov Switching Models P…Volatility comovement: a multifrequency approach (2005)Volatility comovement: a mult…Evaluating Direct Multistep Forecasts (2005)Evaluating Direct Multistep F…Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis (2004)Using Out-of-Sample Mean Squa…Markov switching regimes in a monetary exchange rate model (2004)Markov switching regimes in a…Is Official Exchange Rate Intervention Effective? (2004)Is Official Exchange Rate Int…Exchange rates and fundamentals: evidence on the economic value of predictability (2004)Exchange rates and fundamenta…How Well Do Monetary Fundamentals Forecast Exchange Rates? 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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?2,067 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability

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1,044 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • Cited by

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    • 2009IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS*194 cited
    • 2009Currency carry trade regimes: Beyond the Fama regression154 cited
    • 2006Chapter 5 Predictive Density Evaluation149 cited
    • 2004Exchange rates and fundamentals: evidence on the economic value of predictability141 cited
    • 2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle133 cited
    • 2011What Does the Yield Curve Tell Us about Exchange Rate Predictability?127 cited
    • 2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates*122 cited
    • 2002How Well Do Monetary Fundamentals Forecast Exchange Rates?119 cited
    • 2004Markov switching regimes in a monetary exchange rate model118 cited
    • 2006Can Markov Switching Models Predict Excess Foreign Exchange Returns?118 cited
    • 2004Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis117 cited
    • 2006Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?112 cited
    • 2005Volatility comovement: a multifrequency approach110 cited