-
3
-
-
33746819192
-
Investor sentiment and the cross-section of stock returns
-
Baker M., Wurgler J. Investor sentiment and the cross-section of stock returns. Journal of Finance 2006, 61:1645-1680.
-
(2006)
Journal of Finance
, vol.61
, pp. 1645-1680
-
-
Baker, M.1
Wurgler, J.2
-
4
-
-
33747873710
-
International capital markets and foreign exchange risk
-
Brennan M.J., Xia Y. International capital markets and foreign exchange risk. Review of Financial Studies 2006, 19:753-795.
-
(2006)
Review of Financial Studies
, vol.19
, pp. 753-795
-
-
Brennan, M.J.1
Xia, Y.2
-
6
-
-
34547265616
-
The returns to currency speculation in emerging markets
-
Burnside C., Eichenbaum M., Kleschelski I., Rebelo S. The returns to currency speculation in emerging markets. American Economic Review Papers and Proceedings 2007, 97:333-338.
-
(2007)
American Economic Review Papers and Proceedings
, vol.97
, pp. 333-338
-
-
Burnside, C.1
Eichenbaum, M.2
Kleschelski, I.3
Rebelo, S.4
-
8
-
-
0040481210
-
Measuring predictability: theory and macroeconomic applications
-
Diebold F.X., Kilian L. Measuring predictability: theory and macroeconomic applications. Journal of Applied Econometrics 2001, 16:657-669.
-
(2001)
Journal of Applied Econometrics
, vol.16
, pp. 657-669
-
-
Diebold, F.X.1
Kilian, L.2
-
9
-
-
80053035602
-
Asset price dynamics with slow-moving capital
-
Duffie D. Asset price dynamics with slow-moving capital. Journal of Finance 2010, 65:1238-1268.
-
(2010)
Journal of Finance
, vol.65
, pp. 1238-1268
-
-
Duffie, D.1
-
11
-
-
0000480869
-
Efficient capital markets: a review of theory and empirical work
-
Fama E. Efficient capital markets: a review of theory and empirical work. Journal of Finance 1970, 25:383-417.
-
(1970)
Journal of Finance
, vol.25
, pp. 383-417
-
-
Fama, E.1
-
12
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama E., French K. Common risk factors in the returns on stocks and bonds. Journal Financial Economics 1993, 33:3-56.
-
(1993)
Journal Financial Economics
, vol.33
, pp. 3-56
-
-
Fama, E.1
French, K.2
-
13
-
-
0013413658
-
Multifactor explanations of asset pricing anomalies
-
Fama E., French K. Multifactor explanations of asset pricing anomalies. Journal of Finance 1996, 51:55-84.
-
(1996)
Journal of Finance
, vol.51
, pp. 55-84
-
-
Fama, E.1
French, K.2
-
14
-
-
0041030607
-
The efficient use of conditioning information in portfolios
-
Ferson W., Siegel A. The efficient use of conditioning information in portfolios. Journal of Finance 2001, 56(3):967-982.
-
(2001)
Journal of Finance
, vol.56
, Issue.3
, pp. 967-982
-
-
Ferson, W.1
Siegel, A.2
-
15
-
-
84877821203
-
Margin based asset pricing and the law of one price
-
Garleanu N., Pedersen L.H. Margin based asset pricing and the law of one price. Review of Financial Studies 2011, 24(6):1981-2022.
-
(2011)
Review of Financial Studies
, vol.24
, Issue.6
, pp. 1981-2022
-
-
Garleanu, N.1
Pedersen, L.H.2
-
16
-
-
0002406475
-
Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules
-
Gencay R. Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules. Journal of International Economics 1999, 47:91-107.
-
(1999)
Journal of International Economics
, vol.47
, pp. 91-107
-
-
Gencay, R.1
-
17
-
-
0001534103
-
A test of the efficiency of a given portfolio
-
Gibbons M.R., Ross S.A., Shanken J. A test of the efficiency of a given portfolio. Econometrica 1989, 57:1121-1152.
-
(1989)
Econometrica
, vol.57
, pp. 1121-1152
-
-
Gibbons, M.R.1
Ross, S.A.2
Shanken, J.3
-
19
-
-
84934563125
-
Implications of security market data for models of dynamic economies
-
Hansen L.P., Jagannathan R. Implications of security market data for models of dynamic economies. Journal of Political Economy 1991, 99:225-262.
-
(1991)
Journal of Political Economy
, vol.99
, pp. 225-262
-
-
Hansen, L.P.1
Jagannathan, R.2
-
21
-
-
70349119250
-
Regression and time series model selection in small samples
-
Hurvich C.M., Tsai C.L. Regression and time series model selection in small samples. Biometrika 1989, 76:297-307.
-
(1989)
Biometrika
, vol.76
, pp. 297-307
-
-
Hurvich, C.M.1
Tsai, C.L.2
-
22
-
-
11344278864
-
In-sample or out-of-sample tests of predictability: which one should we use?
-
Inoue A., Kilian L. In-sample or out-of-sample tests of predictability: which one should we use?. Econometric Reviews 2004, 23:371-402.
-
(2004)
Econometric Reviews
, vol.23
, pp. 371-402
-
-
Inoue, A.1
Kilian, L.2
-
26
-
-
0032703962
-
Technical trading rule profitability and foreign exchange Intervention
-
LeBaron B. Technical trading rule profitability and foreign exchange Intervention. Journal of International Economics 1999, 49:125-143.
-
(1999)
Journal of International Economics
, vol.49
, pp. 125-143
-
-
LeBaron, B.1
-
27
-
-
52249094188
-
Robust performance hypothesis testing with the Sharpe ratio
-
Ledoit O., Wolf M. Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance 2008, 15:850-859.
-
(2008)
Journal of Empirical Finance
, vol.15
, pp. 850-859
-
-
Ledoit, O.1
Wolf, M.2
-
28
-
-
10044245396
-
A dynamic index for managed currencies funds using CME currency contracts
-
Lequeux P., Acar E. A dynamic index for managed currencies funds using CME currency contracts. European Journal of Finance 1998, 4:311-330.
-
(1998)
European Journal of Finance
, vol.4
, pp. 311-330
-
-
Lequeux, P.1
Acar, E.2
-
29
-
-
0041776665
-
The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach
-
Levich R., Thomas L.R. The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach. Journal of International Money and Finance 1993, 12:451-474.
-
(1993)
Journal of International Money and Finance
, vol.12
, pp. 451-474
-
-
Levich, R.1
Thomas, L.R.2
-
32
-
-
70350200849
-
An information approach to international currencies
-
Lyons R.K., Moore M.J. An information approach to international currencies. Journal of International Economics 2009, 79(2):211-221.
-
(2009)
Journal of International Economics
, vol.79
, Issue.2
, pp. 211-221
-
-
Lyons, R.K.1
Moore, M.J.2
-
33
-
-
7544242629
-
The Adaptive market hypothesis: market efficiency from an Evolutionary perspective
-
30th Anniversary Issue
-
Lo A.W. The Adaptive market hypothesis: market efficiency from an Evolutionary perspective. Journal of Portfolio Management 2004, 15-29. 30th Anniversary Issue.
-
(2004)
Journal of Portfolio Management
, pp. 15-29
-
-
Lo, A.W.1
-
34
-
-
0000150312
-
Asset prices in an exchange economy
-
Lucas R. Asset prices in an exchange economy. Econometrica 1978, 46(4):1429-1445.
-
(1978)
Econometrica
, vol.46
, Issue.4
, pp. 1429-1445
-
-
Lucas, R.1
-
37
-
-
0036867964
-
Sticky information versus sticky prices: a proposal to replace the new Keynesian Phillips curve
-
Mankiw N.G., Ricardo R. Sticky information versus sticky prices: a proposal to replace the new Keynesian Phillips curve. The Quarterly Journal of Economics 2002, 117(4):1295-1328.
-
(2002)
The Quarterly Journal of Economics
, vol.117
, Issue.4
, pp. 1295-1328
-
-
Mankiw, N.G.1
Ricardo, R.2
-
38
-
-
0001281286
-
Rational expectations and the theory of price movements
-
Muth J.F. Rational expectations and the theory of price movements. Econometrica 1961, 29:315-335.
-
(1961)
Econometrica
, vol.29
, pp. 315-335
-
-
Muth, J.F.1
-
39
-
-
0031328861
-
Is technical analysis in the foreign exchange market Profitable? A genetic programming approach
-
Neely C., Weller P., Dittmar R. Is technical analysis in the foreign exchange market Profitable? A genetic programming approach. Journal of Financial and Quantitative Analysis 1997, 32:405-426.
-
(1997)
Journal of Financial and Quantitative Analysis
, vol.32
, pp. 405-426
-
-
Neely, C.1
Weller, P.2
Dittmar, R.3
-
41
-
-
0000706085
-
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey W.K., West K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 1987, 55:703-708.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
42
-
-
0242721052
-
Have trading rule profits in the foreign exchange markets declined through time?
-
Olson D. Have trading rule profits in the foreign exchange markets declined through time?. Journal of Banking & Finance 2004, 28:85-105.
-
(2004)
Journal of Banking & Finance
, vol.28
, pp. 85-105
-
-
Olson, D.1
-
44
-
-
0003474751
-
-
Cambridge University Press, New York
-
Press W.H., Flannery B.P., Teukolsky S.A., Vettering W.T. Numerical Recipes in C 1988, Cambridge University Press, New York.
-
(1988)
Numerical Recipes in C
-
-
Press, W.H.1
Flannery, B.P.2
Teukolsky, S.A.3
Vettering, W.T.4
-
46
-
-
84884112083
-
-
Princeton University Press, Princeton, New Jersey
-
Ross S.A. Neoclassical Finance 2005, Princeton University Press, Princeton, New Jersey.
-
(2005)
Neoclassical Finance
-
-
Ross, S.A.1
-
48
-
-
84963178774
-
Further analysis of the data by Akaike's information criterion and the finite corrections
-
Sugiura N. Further analysis of the data by Akaike's information criterion and the finite corrections. Communications in Statistics, Theory and Methods 1978, A7:13-26.
-
(1978)
Communications in Statistics, Theory and Methods
, vol.A7
, pp. 13-26
-
-
Sugiura, N.1
-
49
-
-
0001523790
-
Efficient inference in a random coefficient regression model
-
Swamy P.A.V.B. Efficient inference in a random coefficient regression model. Econometrica 1970, 38:311-323.
-
(1970)
Econometrica
, vol.38
, pp. 311-323
-
-
Swamy, P.A.V.B.1
-
50
-
-
84978599450
-
Trading futures using a channel rule: a study of the predictive power of technical analysis with currency examples
-
Taylor S.J. Trading futures using a channel rule: a study of the predictive power of technical analysis with currency examples. Journal of Futures Markets 1994, 14:215-235.
-
(1994)
Journal of Futures Markets
, vol.14
, pp. 215-235
-
-
Taylor, S.J.1
-
52
-
-
0000028873
-
A reality check for data snooping
-
White H. A reality check for data snooping. Econometrica 2000, 68:1097-1127.
-
(2000)
Econometrica
, vol.68
, pp. 1097-1127
-
-
White, H.1
|