메뉴 건너뛰기




Volumn 85, Issue 4, 2003, Pages 1048-1062

Inference on via generalized spectrum and nonlinear time series models

(2)  Hong, Yongmiao a   Lee, Tae Hwy a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0242510033     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465303772815925     Document Type: Review
Times cited : (97)

References (62)
  • 2
    • 84977718189 scopus 로고
    • Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    • Bekaert, G., and R. Hodrick, "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," Journal of Finance (1992), 467-509.
    • (1992) Journal of Finance , pp. 467-509
    • Bekaert, G.1    Hodrick, R.2
  • 3
    • 0001023182 scopus 로고
    • Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model
    • Bollerslev, T., "Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," Review of Economics and Statistics 72 (1990), 498-505.
    • (1990) Review of Economics and Statistics , vol.72 , pp. 498-505
    • Bollerslev, T.1
  • 5
    • 84977707376 scopus 로고
    • Simple Technical Trading Rules and the Stochastic Properties of Stock Returns
    • Brock, W., J. Lakonishock, and B. LeBaron, "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance 47 (1992), 1731-1764.
    • (1992) Journal of Finance , vol.47 , pp. 1731-1764
    • Brock, W.1    Lakonishock, J.2    Lebaron, B.3
  • 6
    • 0000537884 scopus 로고    scopus 로고
    • Linear and Nonlinear (Non-)Forecastability of High-Frequency Exchange Rates
    • Brook, C., "Linear and Nonlinear (Non-)Forecastability of High-Frequency Exchange Rates," Journal of Forecasting 16 (1997), 125-145.
    • (1997) Journal of Forecasting , vol.16 , pp. 125-145
    • Brook, C.1
  • 7
    • 2242466770 scopus 로고    scopus 로고
    • Functional-Coefficient Regression Models for Nonlinear Time Series
    • Cai, Z., J. Fan, and Q. Yao, "Functional-Coefficient Regression Models for Nonlinear Time Series," Journal of the American Statistical Association 95:451 (2000), 941-956.
    • (2000) Journal of the American Statistical Association , vol.95 , Issue.451 , pp. 941-956
    • Cai, Z.1    Fan, J.2    Yao, Q.3
  • 10
    • 0003047270 scopus 로고    scopus 로고
    • Tests of Equal Forecast Accuracy and Encompassing for Nested Models
    • Clark, T. E., and M. W. McCracken, "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Journal of Econometrics 105 (2001), 85-110.
    • (2001) Journal of Econometrics , vol.105 , pp. 85-110
    • Clark, T.E.1    McCracken, M.W.2
  • 11
    • 8344290789 scopus 로고    scopus 로고
    • Department of Economics, University of Missouri, Columbia
    • _ "Evaluating Long-Horizon Forecasts," Department of Economics, University of Missouri, Columbia (2002).
    • (2002) Evaluating Long-horizon Forecasts
  • 12
    • 34248625602 scopus 로고
    • On the Limitations of Comparing Mean Square Forecast Errors
    • Clements, M. P., and D. F. Hendry, "On the Limitations of Comparing Mean Square Forecast Errors," Journal of Forecasting 12 (1993), 617-637.
    • (1993) Journal of Forecasting , vol.12 , pp. 617-637
    • Clements, M.P.1    Hendry, D.F.2
  • 13
    • 0040715916 scopus 로고    scopus 로고
    • Multivariate Density Forecast Evaluation and Calibration in Financial Risk Management: High-Frequency Returns on Foreign Exchange
    • Diebold, F. X., J. Hahn, and A. S. Tay, "Multivariate Density Forecast Evaluation and Calibration in Financial Risk Management: High-Frequency Returns on Foreign Exchange," Review of Economics and Statistics 81:4 (1999), 661-673.
    • (1999) Review of Economics and Statistics , vol.81 , Issue.4 , pp. 661-673
    • Diebold, F.X.1    Hahn, J.2    Tay, A.S.3
  • 16
    • 0242586399 scopus 로고
    • Spectral Based Tests for the Martingale Hypothesis
    • Durlauf, S., "Spectral Based Tests for the Martingale Hypothesis," Journal of Econometrics 50 (1991), 1-19.
    • (1991) Journal of Econometrics , vol.50 , pp. 1-19
    • Durlauf, S.1
  • 17
    • 0002344794 scopus 로고
    • Bootstrap Methods: Another Look at the Jackknife
    • Efron, B., "Bootstrap Methods: Another Look at the Jackknife," Annals of Statistics 7 (1979), 1-26.
    • (1979) Annals of Statistics , vol.7 , pp. 1-26
    • Efron, B.1
  • 18
    • 0001659575 scopus 로고
    • Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market
    • Engle, R., T. Ito, and W. Lin, "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica 58 (1990), 525-542.
    • (1990) Econometrica , vol.58 , pp. 525-542
    • Engle, R.1    Ito, T.2    Lin, W.3
  • 20
    • 84983904744 scopus 로고
    • Spectral Tests of the Martingale Hypothesis for Exchange Rates
    • Fong, W. M., and Ouliaris, S., "Spectral Tests of the Martingale Hypothesis for Exchange Rates," Journal of Applied Econometrics 10 (1995), 255-271.
    • (1995) Journal of Applied Econometrics , vol.10 , pp. 255-271
    • Fong, W.M.1    Ouliaris, S.2
  • 21
  • 22
    • 0000551556 scopus 로고    scopus 로고
    • On Forecasting Exchange Rates Using Neural Networks
    • Franses, P. H., and P. van Homelen, "On Forecasting Exchange Rates Using Neural Networks," Applied Financial Economics 8 (1998), 589-596.
    • (1998) Applied Financial Economics , vol.8 , pp. 589-596
    • Franses, P.H.1    Van Homelen, P.2
  • 23
    • 0002406475 scopus 로고    scopus 로고
    • Linear, Nonlinear and Essential Foreign Exchange Rate Prediction with Simple Technical Trading Rules
    • Gençay, R., "Linear, Nonlinear and Essential Foreign Exchange Rate Prediction with Simple Technical Trading Rules," Journal of International Economics 47 (1999), 91-107.
    • (1999) Journal of International Economics , vol.47 , pp. 91-107
    • Gençay, R.1
  • 25
    • 0242586400 scopus 로고    scopus 로고
    • Department of Economics, University of California, San Diego
    • _ "Thick Models," Department of Economics, University of California, San Diego (2001).
    • (2001) Thick Models
  • 27
    • 0442325089 scopus 로고    scopus 로고
    • Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
    • Hong, Y., "Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach," Journal of the American Statistical Association 84 (1999), 1201-1220.
    • (1999) Journal of the American Statistical Association , vol.84 , pp. 1201-1220
    • Hong, Y.1
  • 28
    • 45449124697 scopus 로고
    • The Statistical Properties of Daily Foreign Exchange Rates: 1974-1983
    • Hsieh, D. A., "The Statistical Properties of Daily Foreign Exchange Rates: 1974-1983," Journal of International Economics 24 (1988), 129-145.
    • (1988) Journal of International Economics , vol.24 , pp. 129-145
    • Hsieh, D.A.1
  • 29
    • 0000605911 scopus 로고
    • Testing for Nonlinear Dependence in Daily Foreign Exchange Rates
    • _ "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," Journal of Business 62 (1989), 339-368.
    • (1989) Journal of Business , vol.62 , pp. 339-368
  • 30
    • 21144474654 scopus 로고
    • Implications of Nonlinear Dynamics for Financial Risk Management
    • _ "Implications of Nonlinear Dynamics for Financial Risk Management," Journal of Financial and Quantitative Analysis 28 (1993), 41-64.
    • (1993) Journal of Financial and Quantitative Analysis , vol.28 , pp. 41-64
  • 31
    • 0038440860 scopus 로고    scopus 로고
    • Empirical Bayes Forecasts of One Time Series Using Many Predictors
    • Harvard University
    • Knox, T., J. H. Stock, and M. W. Watson, "Empirical Bayes Forecasts of One Time Series Using Many Predictors," Department of Economics working paper, Harvard University (2000).
    • (2000) Department of Economics Working Paper
    • Knox, T.1    Stock, J.H.2    Watson, M.W.3
  • 32
    • 38249003585 scopus 로고
    • Nonlinearity in Foreign Exchange Markets: A Different Perspective
    • Kräger, H., and P. Kugler, "Nonlinearity in Foreign Exchange Markets: A Different Perspective," Journal of International Money and Finance 12 (1993), 195-208.
    • (1993) Journal of International Money and Finance , vol.12 , pp. 195-208
    • Kräger, H.1    Kugler, P.2
  • 33
    • 84983857211 scopus 로고
    • Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks
    • Kuan, C.-M., and T. Liu, "Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks," Journal of Applied Econometrics 10 (1995), 347-364.
    • (1995) Journal of Applied Econometrics , vol.10 , pp. 347-364
    • Kuan, C.-M.1    Liu, T.2
  • 34
    • 0032703962 scopus 로고    scopus 로고
    • Technical Trading Rule Profitability and Foreign Exchange Intervention
    • LeBaron, B., "Technical Trading Rule Profitability and Foreign Exchange Intervention," Journal of International Economics 49:1 (1999), 125-143.
    • (1999) Journal of International Economics , vol.49 , Issue.1 , pp. 125-143
    • Lebaron, B.1
  • 35
    • 0041776665 scopus 로고
    • The Significance of Technical Trading Rule Profits in the Foreign Exchange Market: A Bootstrap Approach
    • Levich, R., and L. Thomas, "The Significance of Technical Trading Rule Profits in the Foreign Exchange Market: A Bootstrap Approach," Journal of International Money and Finance 12 (1993), 451-474.
    • (1993) Journal of International Money and Finance , vol.12 , pp. 451-474
    • Levich, R.1    Thomas, L.2
  • 36
    • 0031161765 scopus 로고    scopus 로고
    • Is a Random Walk the Best Exchange Rate Predictor?
    • Lisi, F., and A. Medio, "Is a Random Walk the Best Exchange Rate Predictor?" International Journal of Forecasting 13 (1997), 255-267.
    • (1997) International Journal of Forecasting , vol.13 , pp. 255-267
    • Lisi, F.1    Medio, A.2
  • 37
    • 84977729848 scopus 로고
    • A Variance Ratio Test of Random Walks in Foreign Exchange Rates
    • Liu, C. Y., and J. He, "A Variance Ratio Test of Random Walks in Foreign Exchange Rates," Journal of Finance 46 (1991), 773-785.
    • (1991) Journal of Finance , vol.46 , pp. 773-785
    • Liu, C.Y.1    He, J.2
  • 38
    • 0000712557 scopus 로고
    • Bootstrap Procedures under Some Non-iid Models
    • Liu, R. Y., "Bootstrap Procedures under Some Non-iid Models," Annals of Statistics 16 (1988), 1697-1708.
    • (1988) Annals of Statistics , vol.16 , pp. 1697-1708
    • Liu, R.Y.1
  • 39
    • 0002484986 scopus 로고
    • Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
    • Lo, A. W., and A. C. MacKinlay, "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies 1 (1988), 41-66.
    • (1988) Review of Financial Studies , vol.1 , pp. 41-66
    • Lo, A.W.1    Mackinlay, A.C.2
  • 40
    • 0003589473 scopus 로고    scopus 로고
    • Princeton: Princeton University Press
    • _ A Non-random Walk down Wall Street (Princeton: Princeton University Press, 1999).
    • (1999) A Non-random Walk Down Wall Street
  • 41
    • 0000150312 scopus 로고
    • Asset Prices in an Exchange Economy
    • Lucas, R. E., "Asset Prices in an Exchange Economy," Econometrica 46 (1978), 1429-1446.
    • (1978) Econometrica , vol.46 , pp. 1429-1446
    • Lucas, R.E.1
  • 42
    • 0001909961 scopus 로고    scopus 로고
    • Robust Out-of-Sample Inference
    • McCracken, M. W., "Robust Out-of-Sample Inference," Journal of Econometrics 99:2 (2000), 195-223.
    • (2000) Journal of Econometrics , vol.99 , Issue.2 , pp. 195-223
    • McCracken, M.W.1
  • 43
    • 38149144178 scopus 로고
    • Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility
    • McCurdy, T. H., and I. G. Morgan, "Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility," International Journal of Forecasting 3 (1987), 131-148.
    • (1987) International Journal of Forecasting , vol.3 , pp. 131-148
    • McCurdy, T.H.1    Morgan, I.G.2
  • 44
    • 84986376840 scopus 로고
    • Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroskedasticity
    • _ "Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroskedasticity," Journal of Applied Econometrics 3 (1988), 187-202.
    • (1988) Journal of Applied Econometrics , vol.3 , pp. 187-202
  • 45
    • 33846907054 scopus 로고
    • Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample
    • Meese, R. A., and K. Rogoff, "Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample," Journal of International Economics 14 (1983a), 3-24.
    • (1983) Journal of International Economics , vol.14 , pp. 3-24
    • Meese, R.A.1    Rogoff, K.2
  • 46
    • 0001851162 scopus 로고
    • The Out of Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?
    • J. Frenkel (Ed.) (Chicago: University of Chicago Press)
    • _ "The Out of Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?" in J. Frenkel (Ed.), Exchange Rates and International Economics (Chicago: University of Chicago Press, 1983b).
    • (1983) Exchange Rates and International Economics
  • 47
    • 0000060713 scopus 로고
    • Non-linear, Non-parametric, Non-essential Exchange Rate Estimation
    • Meese, R. A., and A. K. Rose, "Non-linear, Non-parametric, Non-essential Exchange Rate Estimation," American Economic Review 80 (1990), 192-196.
    • (1990) American Economic Review , vol.80 , pp. 192-196
    • Meese, R.A.1    Rose, A.K.2
  • 48
    • 84959798347 scopus 로고
    • An Empirical Assessment of Nonlinearities in Models of Exchange Rate Determinations
    • _ "An Empirical Assessment of Nonlinearities in Models of Exchange Rate Determinations," Review of Economic Studies 58 (1991), 603-619.
    • (1991) Review of Economic Studies , vol.58 , pp. 603-619
  • 51
    • 84986817195 scopus 로고
    • State-Dependent Models: A General Approach to Nonlinear Time Series Analysis
    • Priestley, M. B., "State-Dependent Models: A General Approach to Nonlinear Time Series Analysis," Journal of Time Series Analysis 1 (1980), 47-71.
    • (1980) Journal of Time Series Analysis , vol.1 , pp. 47-71
    • Priestley, M.B.1
  • 52
    • 21144470684 scopus 로고
    • Temporary Components of Stock Prices: A Skeptic's View
    • Richardson, M., "Temporary Components of Stock Prices: A Skeptic's View," Journal of Business and Economic Statistics 11:2 (1993), 199-207.
    • (1993) Journal of Business and Economic Statistics , vol.11 , Issue.2 , pp. 199-207
    • Richardson, M.1
  • 53
    • 38249025506 scopus 로고
    • Drawing Inferences from Statistics Based on Multiyear Asset Returns
    • Richardson, M., and J. H. Stock, "Drawing Inferences from Statistics Based on Multiyear Asset Returns," Journal of Financial Economics 25 (1989), 323-348.
    • (1989) Journal of Financial Economics , vol.25 , pp. 323-348
    • Richardson, M.1    Stock, J.H.2
  • 54
    • 0012675693 scopus 로고    scopus 로고
    • A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series
    • R. F. Engle and H. White (Eds.) (London: Oxford University Press)
    • Stock, J. H., and M. W. Watson, "A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series" (pp. 1-44), in R. F. Engle and H. White (Eds.), Cointegration, Causality, and Forecasting, A Festschrift in Honor of C. W. J. Granger (London: Oxford University Press, 1999).
    • (1999) Cointegration, Causality, and Forecasting, A Festschrift in Honor of C. W. J. Granger , pp. 1-44
    • Stock, J.H.1    Watson, M.W.2
  • 55
    • 0000935002 scopus 로고
    • Beating the Foreign Exchange Market
    • Sweeney, R. J., "Beating the Foreign Exchange Market," Journal of Finance 41 (1986), 163-182.
    • (1986) Journal of Finance , vol.41 , pp. 163-182
    • Sweeney, R.J.1
  • 57
    • 0030353235 scopus 로고    scopus 로고
    • Asymptotic Inference about Predictive Ability
    • West, K. D., "Asymptotic Inference about Predictive Ability," Econometrica 64 (1996), 1067-1084.
    • (1996) Econometrica , vol.64 , pp. 1067-1084
    • West, K.D.1
  • 58
    • 0000650195 scopus 로고
    • The Predictive Ability of Several Models of Exchange Rate Volatility
    • West, K. D., and D. Cho, "The Predictive Ability of Several Models of Exchange Rate Volatility," Journal of Econometrics 69 (1995), 367-391.
    • (1995) Journal of Econometrics , vol.69 , pp. 367-391
    • West, K.D.1    Cho, D.2
  • 59
    • 0000028873 scopus 로고    scopus 로고
    • A Reality Check for Data Snooping
    • White, H., "A Reality Check for Data Snooping," Econometrica 68:5 (2000), 1097-1126.
    • (2000) Econometrica , vol.68 , Issue.5 , pp. 1097-1126
    • White, H.1
  • 60
    • 0001673027 scopus 로고
    • Jackknife, Bootstrap, and Other Resampling Methods in Regression Analysis
    • Wu, C. F. J., "Jackknife, Bootstrap, and Other Resampling Methods in Regression Analysis," Annals of Statistics 14 (1986), 1261-1350.
    • (1986) Annals of Statistics , vol.14 , pp. 1261-1350
    • Wu, C.F.J.1
  • 61
    • 0242586402 scopus 로고    scopus 로고
    • Combining Forecasting Procedures: Some Theoretical Results
    • Iowa State University
    • Yang, Y., "Combining Forecasting Procedures: Some Theoretical Results," Department of Statistics working paper, Iowa State University (2002).
    • (2002) Department of Statistics Working Paper
    • Yang, Y.1
  • 62
    • 0242586401 scopus 로고    scopus 로고
    • Combining Time Series Models for Forecasting
    • Iowa State University
    • Yang, Y., and H. Zou, "Combining Time Series Models for Forecasting," Department of Statistics working paper, Iowa State University (2002).
    • (2002) Department of Statistics Working Paper
    • Yang, Y.1    Zou, H.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.