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Predicting exchange rate returns
16 references·0 citing·45 second hop
Predicting exchange rate returns (2019)Predicting exchange rate returnsExchange Rate Predictability (2013)Exchange Rate PredictabilityCarry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…A new unit root test with two structural breaks in level and slope at unknown time (2010)A new unit root test with two…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Predicting returns with financial ratios (2004)Predicting returns with finan…The Economics of Exchange Rates (2003)The Economics of Exchange Rat…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Predictive regressions (1999)Predictive regressionsThe forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …The new Palgrave dictionary of money and finance (1992)The new Palgrave dictionary o…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeForward Discount Bias: Is it an Exchange Risk Premium? (1989)Forward Discount Bias: Is it …Forward and spot exchange rates (1984)Forward and spot exchange rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Presidential Address: Discount Rates (2011)Continuous Auctions and Insider Trading (1985)Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Carry Trades and Currency Crashes (2008)What do we learn from the price of crude oil futures? (2010)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)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)Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates (1963)Order Flow and Exchange Rate Dynamics (1999)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)Firm-Specific Assets and the Link Between Exchange Rates and Foreign Direct Investment (2019)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Asymptotic Inference about Predictive Ability (1996)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Asset returns and inflation (1977)Dividend yields and expected stock returns (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Efficient tests of stock return predictability☆ (2006)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Stock Returns and the Term Structure (1985)Expected Stock Returns and Variance Risk Premia (2009)The short of it: Investor sentiment and anomalies (2011)
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References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1999Predictive regressions1,614 cited
  • 2003The Economics of Exchange Rates1,327 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2004Predicting returns with financial ratios1,002 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 2010A new unit root test with two structural breaks in level and slope at unknown time725 cited
  • 1989Forward Discount Bias: Is it an Exchange Risk Premium?715 cited
  • 1992The new Palgrave dictionary of money and finance665 cited
  • 2013Exchange Rate Predictability

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