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Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment
16 references·2 citing·40 second hop
Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment (2006)Conventional and Unconventional Approache…Out-of-sample exchange rate predictability with Taylor rule fundamentals (2008)Out-of-sample exchange rate p…The External Wealth of Nations Mark Ii: Revised and Extended Estimates of Foreign Assets and Liabilities,1970-2004 (2006)The External Wealth of Nation…In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)In-Sample or Out-of-Sample Te…Exchange Rates and Fundamentals (2005)Exchange Rates and Fundamenta…Exchange Rates and Fundamentals (2004)Exchange Rates and Fundamenta…An Area Wide Model (Awm) for the Euro Area (2003)An Area Wide Model (Awm) for …Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyA Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Production-Based Asset Pricin…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…A Theory of Exchange Rate Determination (1980)A Theory of Exchange Rate Det…On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)On the Mark: A Theory of Floa…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Currency Premia and Global Imbalances (2013)Currency Premia and Global Im…Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set (2008)Private Information and a Mac…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Domestic Financial Policies Under Fixed and Under Floating Exchange Rates (1962)A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Immiserizing Growth: A Geometrical Note (1958)Theory of Value (1959)Asset Prices in an Exchange Economy (1978)Trying to Explain Home Bias in Equities and Consumption (1999)The Economics of Exchange Rates (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Dividend yields and expected stock returns (1988)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Predictability of Stock Returns: Robustness and Economic Significance (1995)Organization Capital and the Cross‐Section of Expected Returns (2013)Choosing factors (2018)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Global Current Account Imbalances and Exchange Rate Adjustments (2005)Foreign Capital and Economic Growth (2007)GLOBAL BUSINESS CYCLES: CONVERGENCE OR DECOUPLING?* (2008)Empirical exchange rate models of the seventies (1983)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop

References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1991Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations1,125 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1979On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials955 cited
  • 2006The External Wealth of Nations Mark Ii: Revised and Extended Estimates of Foreign Assets and Liabilities,1970-2004846 cited
  • 2005Exchange Rates and Fundamentals808 cited
  • 2005In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?756 cited
  • 2004Exchange Rates and Fundamentals723 cited
  • 2003An Area Wide Model (Awm) for the Euro Area641 cited
  • 2008Out-of-sample exchange rate predictability with Taylor rule fundamentals436 cited

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  • 1980A Theory of Exchange Rate Determination404 cited
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    • 2013Currency Premia and Global Imbalances26 cited
    • 2008Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set13 cited