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Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach
16 references·7 citing·48 second hop
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this work references cited by second hop

References

  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1998Monetary policy rules in practice2,206 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 2004Some Evidence on the Importance of Sticky Prices1,579 cited
  • 2002Some Evidence on the Importance of Sticky Prices1,323 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 2005Exchange Rates and Fundamentals808 cited
  • 1998Tests for Forecast Encompassing786 cited
  • 2004Exchange Rates and Fundamentals723 cited
  • 2013Exchange Rate Predictability654 cited
  • 2008Out-of-sample exchange rate predictability with Taylor rule fundamentals436 cited

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Cited by

  • 2023Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty79 cited
  • 2021A three-stage framework for vertical carbon price interval forecast based on decomposition–integration method73 cited
  • 2021Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder‐LSTM Techniques69 cited
  • 2022Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?49 cited
  • 2022Supply chain management based on volatility clustering: The effect of CBDC volatility41 cited
  • 2020Value at risk and returns of cryptocurrencies before and after the crash: long-run relations and fractional cointegration26 cited
  • 2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies24 cited