-
1
-
-
0242670422
-
Testing continuous time models of the spot interest rate
-
Aït-Sahalia, Y. (1996). Testing Continuous Time Models of the Spot Interest Rate', Review of Financial Studies, Vol. 9, pp. 385-426.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 385-426
-
-
Aït-Sahalia, Y.1
-
2
-
-
0002356273
-
Charts, noise and fundamentals in the london foreign exchange market
-
Allen, H. and Taylor, M. P. (1990). 'Charts, Noise and Fundamentals in the London Foreign Exchange Market', Economic Journal, Vol. 100 (Conference Issue), pp. 49-59.
-
(1990)
Economic Journal
, vol.100
, pp. 49-59
-
-
Allen, H.1
Taylor, M.P.2
-
3
-
-
0000305808
-
Exactly median-unbiased estimation of first order autoregressive/unit root models
-
Andrews, D. (1993). 'Exactly Median-unbiased Estimation of First Order Autoregressive/Unit Root Models', Econometrica, Vol. 61, pp. 139-165.
-
(1993)
Econometrica
, vol.61
, pp. 139-165
-
-
Andrews, D.1
-
7
-
-
0032413513
-
Nonlinear dynamics and covered interest parity
-
Balke, N. S. and Wohar, M. E. (1998). 'Nonlinear Dynamics and Covered Interest Parity', Empirical Economics, Vol. 23, pp. 535-559.
-
(1998)
Empirical Economics
, vol.23
, pp. 535-559
-
-
Balke, N.S.1
Wohar, M.E.2
-
8
-
-
21844491235
-
The time variation of expected returns and volatility in foreign exchange markets
-
Bekaert, G. (1995). 'The Time Variation of Expected Returns and Volatility in Foreign Exchange Markets', Journal of Business and Economic Statistics, Vol. 13, pp. 397-408.
-
(1995)
Journal of Business and Economic Statistics
, vol.13
, pp. 397-408
-
-
Bekaert, G.1
-
9
-
-
0000591381
-
Nonparametric cointegration analysis
-
Bierens, H. J. (1997). 'Nonparametric Cointegration Analysis', Journal of Econometrics, Vol. 77, pp. 379-404.
-
(1997)
Journal of Econometrics
, vol.77
, pp. 379-404
-
-
Bierens, H.J.1
-
10
-
-
0040827036
-
-
Department of Economics, Pennsylvania State University, University Park, PA
-
Bierens, H. J. (1999). 'EasyReg', Department of Economics, Pennsylvania State University, University Park, PA.
-
(1999)
EasyReg
-
-
Bierens, H.J.1
-
11
-
-
0039048505
-
A radial basis function artificial neural network test for neglected nonlinearity
-
National Institute of Economic and Social Research
-
Blake, A. P. and Kapetanios, G. (1999). 'A Radial Basis Function Artificial Neural Network Test for Neglected Nonlinearity', Discussion Paper 153, National Institute of Economic and Social Research.
-
(1999)
Discussion Paper 153
-
-
Blake, A.P.1
Kapetanios, G.2
-
12
-
-
0040827038
-
Long-memory risk premia in exchange rates
-
Byers, J. D. and Peel, D. A. (1996). 'Long-memory Risk Premia in Exchange Rates', The Manchester School, Vol. 64, pp. 421-438.
-
(1996)
The Manchester School
, vol.64
, pp. 421-438
-
-
Byers, J.D.1
Peel, D.A.2
-
13
-
-
21844497468
-
Near-rationality, heterogeneity, and aggregate consumption
-
Caballero, R. (1995). 'Near-rationality, Heterogeneity, and Aggregate Consumption', Journal of Money, Credit and Banking, Vol. 27, pp. 28-48.
-
(1995)
Journal of Money, Credit and Banking
, vol.27
, pp. 28-48
-
-
Caballero, R.1
-
14
-
-
0031475350
-
The term structure of forward exchange premiums and the forecastability of spot exchange rates: Correcting the errors
-
Clarida, R. H. and Taylor, M. P. (1997). 'The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors', Review of Economics and Statistics, Vol. 79, pp. 353-361.
-
(1997)
Review of Economics and Statistics
, vol.79
, pp. 353-361
-
-
Clarida, R.H.1
Taylor, M.P.2
-
16
-
-
0001399453
-
Short run real exchange rate dynamics
-
Coakley, J. and Fuertes, A. M. (2000b). 'Short Run Real Exchange Rate Dynamics', The Manchester School, Vol. 68, pp. 461-475.
-
(2000)
The Manchester School
, vol.68
, pp. 461-475
-
-
Coakley, J.1
Fuertes, A.M.2
-
18
-
-
0035130243
-
Nonparametric cointegration analysis of real exchange rates
-
Coakley, J. and Fuertes, A. M. (2001). 'Nonparametric Cointegration Analysis of Real Exchange Rates', Applied Financial Economics, Vol. 11, pp. 1-8.
-
(2001)
Applied Financial Economics
, vol.11
, pp. 1-8
-
-
Coakley, J.1
Fuertes, A.M.2
-
19
-
-
23044526778
-
An efficient rational interpolation approach to least squares estimation of Band-TARs
-
Special Issue on Numerical Analysis and its Applications, No. 1988
-
Coakley, J., Fuertes, A. M. and Pérez, T. (2001a). 'An Efficient Rational Interpolation Approach to Least Squares Estimation of Band-TARs', Lecture Notes in Computer Science, Special Issue on Numerical Analysis and its Applications, No. 1988, pp. 198-206.
-
(2001)
Lecture Notes in Computer Science
, pp. 198-206
-
-
Coakley, J.1
Fuertes, A.M.2
Pérez, T.3
-
21
-
-
0000142440
-
Foreign exchange market efficiency and common stochastic trends
-
Crowder, W. (1994). 'Foreign Exchange Market Efficiency and Common Stochastic Trends', Journal of International Money and Finance, Vol. 13, pp. 551-564.
-
(1994)
Journal of International Money and Finance
, vol.13
, pp. 551-564
-
-
Crowder, W.1
-
23
-
-
84936526743
-
Noise trader risk in financial markets
-
De Long, B., Shleifer, A., Summers, L. and Waldman, R. (1990). 'Noise Trader Risk in Financial Markets', Journal of Political Economy, Vol. 98, pp. 703-738.
-
(1990)
Journal of Political Economy
, vol.98
, pp. 703-738
-
-
De Long, B.1
Shleifer, A.2
Summers, L.3
Waldman, R.4
-
24
-
-
0039048506
-
Forward speculation, excess returns, and exchange rate variability: The role of risk premia
-
Dibooglu, S. (1998). 'Forward Speculation, Excess Returns, and Exchange Rate Variability: the Role of Risk Premia', Review of International Economics, Vol. 6, pp. 427-440.
-
(1998)
Review of International Economics
, vol.6
, pp. 427-440
-
-
Dibooglu, S.1
-
25
-
-
0002158185
-
Testing the adequacy of smooth transition autoregressive models
-
Eitrheim, Ø. and Teräsvirta, T. (1996). 'Testing the Adequacy of Smooth Transition Autoregressive Models', Journal of Econometrics, Vol. 74, pp. 59-75.
-
(1996)
Journal of Econometrics
, vol.74
, pp. 59-75
-
-
Eitrheim, Ø.1
Teräsvirta, T.2
-
26
-
-
0030163502
-
The forward discount anomaly and the risk premium: A survey of recent evidence
-
Engel, C. (1996). 'The Forward Discount Anomaly and the Risk Premium: a Survey of Recent Evidence', Journal of Empirical Finance, Vol. 3, pp. 123-192.
-
(1996)
Journal of Empirical Finance
, vol.3
, pp. 123-192
-
-
Engel, C.1
-
27
-
-
38249002711
-
Trends in excess returns in currency and bond markets
-
Evans, M. D. D. and Lewis, K. K. (1993). 'Trends in Excess Returns in Currency and Bond Markets', European Economic Review, Vol. 37, pp. 1005-1019.
-
(1993)
European Economic Review
, vol.37
, pp. 1005-1019
-
-
Evans, M.D.D.1
Lewis, K.K.2
-
28
-
-
0000700546
-
Nonlinear dynamic structures
-
Gallant, A. R., Rossi, P. E. and Tauchen, G. (1993). 'Nonlinear Dynamic Structures', Econometrica, Vol. 61, pp. 871-908.
-
(1993)
Econometrica
, vol.61
, pp. 871-908
-
-
Gallant, A.R.1
Rossi, P.E.2
Tauchen, G.3
-
30
-
-
0031314506
-
Understanding spot and forward exchange rate regressions
-
Hai, W., Mark, N. C. and Wu, Y. (1997). 'Understanding Spot and Forward Exchange Rate Regressions', Journal of Applied Econometrics, Vol. 12, pp. 715-734.
-
(1997)
Journal of Applied Econometrics
, vol.12
, pp. 715-734
-
-
Hai, W.1
Mark, N.C.2
Wu, Y.3
-
31
-
-
0033440007
-
-
Hall, S. G., Psaradakis, Z. and Sola, M. (1999). 'Detecting Periodically Collapsing Bubbles: a Markov Switching Unit Root Test', Journal of Applied Econometrics, Vol. 14, pp. 143-154.
-
(1999)
Detecting Periodically Collapsing Bubbles: A Markov Switching Unit Root Testjournal of Applied Econometrics
, vol.14
, pp. 143-154
-
-
Hall, S.G.1
Psaradakis, Z.2
Sola, M.3
-
35
-
-
0037836628
-
Threshold models for trended time series
-
University of Cambridge
-
Kapetanios, G. (1999). 'Threshold Models for Trended Time Series', DAE Working Paper, University of Cambridge.
-
(1999)
DAE Working Paper
-
-
Kapetanios, G.1
-
36
-
-
0001353625
-
Impulse response analysis in nonlinear multivariate models
-
Koop, G., Pesaran, M. H. and Potter, S. (1996). 'Impulse Response Analysis in Nonlinear Multivariate Models', Journal of Econometrics, Vol. 74, pp. 119-147.
-
(1996)
Journal of Econometrics
, vol.74
, pp. 119-147
-
-
Koop, G.1
Pesaran, M.H.2
Potter, S.3
-
37
-
-
43949168783
-
Testing for neglected nonlinearity in time series models: A comparison of neural network and alternative tests
-
Lee, T. H., White, H. and Granger, C. W. J. (1993). 'Testing for Neglected Nonlinearity in Time Series Models: a Comparison of Neural Network and Alternative Tests', Journal of Econometrics, Vol. 56, pp. 269-290.
-
(1993)
Journal of Econometrics
, vol.56
, pp. 269-290
-
-
Lee, T.H.1
White, H.2
Granger, C.W.J.3
-
38
-
-
77956852950
-
Puzzles in international financial markets
-
G. M. Grossman and K. Rogoff (eds), Amsterdam, North-Holland
-
Lewis, K. K. (1995). 'Puzzles in International Financial Markets', in G. M. Grossman and K. Rogoff (eds), Handbook of International Economics, Vol. 3, Amsterdam, North-Holland, pp. 1913-1971.
-
(1995)
Handbook of International Economics
, vol.3
, pp. 1913-1971
-
-
Lewis, K.K.1
-
39
-
-
0001538138
-
Rethinking deviations from uncovered interest parity: The role of covariance risk and noise
-
Mark, N. C. and Wu, Y. (1998). 'Rethinking Deviations from Uncovered Interest Parity: the Role of Covariance Risk and Noise', Economic Journal, Vol. 108, pp. 1686-1706.
-
(1998)
Economic Journal
, vol.108
, pp. 1686-1706
-
-
Mark, N.C.1
Wu, Y.2
-
40
-
-
0035562324
-
Rethinking an old empirical puzzle: Econometric evidence on the forward discount anomaly
-
forthcoming
-
Maynard, A. and Phillips, P. C. B. (2001). 'Rethinking an Old Empirical Puzzle: Econometric Evidence on the Forward Discount Anomaly', Journal of Applied Econometrics, forthcoming.
-
(2001)
Journal of Applied Econometrics
-
-
Maynard, A.1
Phillips, P.C.B.2
-
41
-
-
84986777926
-
Diagnostic checking ARMA time series models using squared-residual autocorrelation
-
McLeod, A. I. and Li, W. K. (1983). 'Diagnostic Checking ARMA Time Series Models Using Squared-residual Autocorrelation', Journal of Time Series Analysis, Vol. 4, pp. 269-273.
-
(1983)
Journal of Time Series Analysis
, vol.4
, pp. 269-273
-
-
McLeod, A.I.1
Li, W.K.2
-
42
-
-
0040805946
-
Business cycle nonlinearities in UK consumption and production
-
Öcal, N. and Osborn, D. R. (2000). 'Business Cycle Nonlinearities in UK Consumption and Production', Journal of Applied Econometrics, Vol. 15, pp. 27-43.
-
(2000)
Journal of Applied Econometrics
, vol.15
, pp. 27-43
-
-
Öcal, N.1
Osborn, D.R.2
-
43
-
-
84963436562
-
Non-linear risk premia
-
Peel, D. A. (1993). 'Non-linear Risk Premia', Applied Financial Economics, Vol. 3, pp. 201-204.
-
(1993)
Applied Financial Economics
, vol.3
, pp. 201-204
-
-
Peel, D.A.1
-
45
-
-
0001146404
-
A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
-
Petruccelli, J. D. and Davies, N. (1986). 'A Portmanteau Test for Self-exciting Threshold Autoregressive-type Nonlinearity in Time Series', Biometrika, Vol. 73, pp. 687-694.
-
(1986)
Biometrika
, vol.73
, pp. 687-694
-
-
Petruccelli, J.D.1
Davies, N.2
-
46
-
-
84981566396
-
A note on the empirical power of unit root tests under threshold processes
-
Pippenger, M. K. and Goering, G. E. (1993). 'A Note on the Empirical Power of Unit Root Tests under Threshold Processes', Oxford Bulletin of Economics and Statistics, Vol. 55, pp. 473-481.
-
(1993)
Oxford Bulletin of Economics and Statistics
, vol.55
, pp. 473-481
-
-
Pippenger, M.K.1
Goering, G.E.2
-
47
-
-
0039025642
-
Nonlinear impulse response functions
-
Potter, S. (2000). 'Nonlinear Impulse Response Functions', Journal of Economic Dynamics and Control, Vol. 24, pp. 1425-1446.
-
(2000)
Journal of Economic Dynamics and Control
, vol.24
, pp. 1425-1446
-
-
Potter, S.1
-
48
-
-
0002484463
-
Lagrange multiplier tests for testing nonlinearities in time series models
-
Saikkonen, P. and Luukkonen, R. (1988). 'Lagrange Multiplier Tests for Testing Nonlinearities in Time Series Models', Scandinavian Journal of Statistics, Vol. 15, pp. 55-68.
-
(1988)
Scandinavian Journal of Statistics
, vol.15
, pp. 55-68
-
-
Saikkonen, P.1
Luukkonen, R.2
-
49
-
-
0000636311
-
Some properties of tests for specification error in a linear regression
-
Thursby, J. and Schmidt, P. (1977). 'Some Properties of Tests for Specification Error in a Linear Regression', Journal of the American Statistical Association, Vol. 72, pp. 635-641.
-
(1977)
Journal of the American Statistical Association
, vol.72
, pp. 635-641
-
-
Thursby, J.1
Schmidt, P.2
-
50
-
-
0018067185
-
On a threshold model
-
C. H. Chen (ed.), Amsterdam, Sijthoff and Noordhoff
-
Tong, H. (1978). 'On a Threshold Model', in C. H. Chen (ed.), Pattern Recognition and Signal Processing, Amsterdam, Sijthoff and Noordhoff.
-
(1978)
Pattern Recognition and Signal Processing
-
-
Tong, H.1
-
51
-
-
84950428199
-
Testing and modelling threshold autoregressive processes
-
Tsay, S. R. (1989). 'Testing and Modelling Threshold Autoregressive Processes', Journal of the American Statistical Association, Vol. 84, pp. 231-240.
-
(1989)
Journal of the American Statistical Association
, vol.84
, pp. 231-240
-
-
Tsay, S.R.1
-
52
-
-
0001537813
-
Detecting and modelling nonlinearity in univariate time series analysis
-
Tsay, S. R. (1991). 'Detecting and Modelling Nonlinearity in Univariate Time Series Analysis', Statistical Sinica, Vol. 1, pp. 431-452.
-
(1991)
Statistical Sinica
, vol.1
, pp. 431-452
-
-
Tsay, S.R.1
|