-
2
-
-
20844443512
-
Exchange rates and fundamentals: Evidence on the economic value of predictability
-
Abhyankar, A., L. Sarno and G. Valente (2005) Exchange rates and fundamentals: evidence on the economic value of predictability. Journal of International Economics 66, 325-48.
-
(2005)
Journal of International Economics
, vol.66
, pp. 325-348
-
-
Abhyankar, A.1
Sarno, L.2
Valente, G.3
-
4
-
-
0001758906
-
Heteroskedasticity and autocorrelation consistent covariance matrix estimation
-
Andrews, D. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-58.
-
(1991)
Econometrica
, vol.59
, pp. 817-858
-
-
Andrews, D.1
-
5
-
-
4043050162
-
A scapegoat model of exchange-rate fluctuations
-
Bacchetta, P. and E. vanWincoop (2004) A scapegoat model of exchange-rate fluctuations. American Economic Review 94, 114-18.
-
(2004)
American Economic Review
, vol.94
, pp. 114-118
-
-
Bacchetta, P.1
vanWincoop, E.2
-
6
-
-
84993661364
-
Accounting for forward rates in matrkets for foreign currency
-
Backus, D., A. Gregory and C. Telmer (1993) Accounting for forward rates in matrkets for foreign currency. Journal of Finance 48, 1887-908.
-
(1993)
Journal of Finance
, vol.48
, pp. 1887-1908
-
-
Backus, D.1
Gregory, A.2
Telmer, C.3
-
7
-
-
38248999435
-
Consumption and real exchange rates in dynamic economies with non-traded goods
-
Backus, D. and G. Smith (1993) Consumption and real exchange rates in dynamic economies with non-traded goods. Journal of International Economics 35, 297-316.
-
(1993)
Journal of International Economics
, vol.35
, pp. 297-316
-
-
Backus, D.1
Smith, G.2
-
8
-
-
38249018319
-
A multivariate generalized ARCH approach to modelling risk premia in forward foreign exchange markets
-
Baillie, R. and T. Bollerslev (1990) A multivariate generalized ARCH approach to modelling risk premia in forward foreign exchange markets. Journal of International Money and Finance 9, 309-24.
-
(1990)
Journal of International Money and Finance
, vol.9
, pp. 309-324
-
-
Baillie, R.1
Bollerslev, T.2
-
13
-
-
30944443096
-
Do asymmetric and nonlinear adjustments explain the forward premium anomaly?
-
Baillie, R. and R. Kiliç (2006) Do asymmetric and nonlinear adjustments explain the forward premium anomaly? Journal of International Money and Finance 25, 22-47.
-
(2006)
Journal of International Money and Finance
, vol.25
, pp. 22-47
-
-
Baillie, R.1
Kiliç, R.2
-
14
-
-
0001399205
-
The purchasing power parity doctrine: A reappraisal
-
Balassa, B. (1964) The purchasing power parity doctrine: a reappraisal. Journal of Political Economy 72, 584-96.
-
(1964)
Journal of Political Economy
, vol.72
, pp. 584-596
-
-
Balassa, B.1
-
16
-
-
0032413513
-
Nonlinear dynamics and covered interest parity
-
Balke, N. and M.Wohar (1998) Nonlinear dynamics and covered interest parity. Empirical Economics 23, 535-59.
-
(1998)
Empirical Economics
, vol.23
, pp. 535-559
-
-
Balke, N.1
Wohar, M.2
-
17
-
-
29144475466
-
Are real exchanges rates nonlinear or nonstationary? Evidence from a new threshold unit root test
-
Article 2
-
Basci, E. and M. Caner (2005) Are real exchanges rates nonlinear or nonstationary? Evidence from a new threshold unit root test. Studies in Nonlinear Dynamics and Econometrics 9, Article 2.
-
(2005)
Studies in Nonlinear Dynamics and Econometrics
, vol.9
-
-
Basci, E.1
Caner, M.2
-
21
-
-
0001986528
-
Real exchange rates and real interest rate differentials: Have we missed the business cycle relationship?
-
Baxter, M. (1994) Real exchange rates and real interest rate differentials: have we missed the business cycle relationship? Journal of Monetary Economics 33, 5-37.
-
(1994)
Journal of Monetary Economics
, vol.33
, pp. 5-37
-
-
Baxter, M.1
-
22
-
-
0002902163
-
Target zones and exchange rates: An empirical investigation
-
Bekaert, G. and S. Gray (1998) Target zones and exchange rates: an empirical investigation. Journal of International Economics 45, 1-35.
-
(1998)
Journal of International Economics
, vol.45
, pp. 1-35
-
-
Bekaert, G.1
Gray, S.2
-
24
-
-
0000592702
-
Maximum likelihood estimation of the differencing parameter for invertible short and long memory autoregressive integrated moving average models
-
Beran, J. (1995) Maximum likelihood estimation of the differencing parameter for invertible short and long memory autoregressive integrated moving average models. Journal of the Royal Statistical Society, Series B 57, 659-72.
-
(1995)
Journal of the Royal Statistical Society, Series B
, vol.57
, pp. 659-672
-
-
Beran, J.1
-
28
-
-
0001495990
-
Stochastic devaluation risk and the empirical fit of target-zone models
-
Bertola, G. and L. Svensson (1993) Stochastic devaluation risk and the empirical fit of target-zone models. Review of Economic Studies 60, 689-712.
-
(1993)
Review of Economic Studies
, vol.60
, pp. 689-712
-
-
Bertola, G.1
Svensson, L.2
-
29
-
-
34247594424
-
Intrinsic bubbles and fat tails in stock prices. A note
-
Bidarkota, P. and B. Dupoyet (2007) Intrinsic bubbles and fat tails in stock prices. A note. Macroeconomic Dynamics 3, 405-22.
-
(2007)
Macroeconomic Dynamics
, vol.3
, pp. 405-422
-
-
Bidarkota, P.1
Dupoyet, B.2
-
30
-
-
0001866008
-
Bubbles, rational expectations, and financial markets
-
P. Wachter (ed.), Lexington, Mass.: Lexington Books
-
Blanchard, O. and M. Watson (1982) Bubbles, rational expectations, and financial markets. In P. Wachter (ed.), Crises in the Economic and Financial Structure, pp. 295-315. Lexington, Mass.: Lexington Books
-
(1982)
Crises in the Economic and Financial Structure
, pp. 295-315
-
-
Blanchard, O.1
Watson, M.2
-
31
-
-
0033409061
-
Mean reversion of real exchange rates in high-inflation countries
-
Bleaney, M., S. Leybourne and P. Mizen (1999) Mean reversion of real exchange rates in high-inflation countries. Southern Economic Journal 65, 839-54.
-
(1999)
Southern Economic Journal
, vol.65
, pp. 839-854
-
-
Bleaney, M.1
Leybourne, S.2
Mizen, P.3
-
33
-
-
0006326864
-
Exchange rate dynamics and currency unification: The Ostmark-DM rate
-
Burda, M. and S. Gerlach (1993) Exchange rate dynamics and currency unification: the Ostmark-DM rate. Empirical Economics 18, 417-29.
-
(1993)
Empirical Economics
, vol.18
, pp. 417-429
-
-
Burda, M.1
Gerlach, S.2
-
34
-
-
0040827038
-
Long-memory risk premia in exchange rates
-
Byers, J. and D. Peel (1996) Long-memory risk premia in exchange rates. Manchester School 64, 421-38.
-
(1996)
Manchester School
, vol.64
, pp. 421-438
-
-
Byers, J.1
Peel, D.2
-
36
-
-
0000941038
-
Threshold autoregression with a unit root
-
Caner, M. and B. Hansen (2001) Threshold autoregression with a unit root. Econometrica 69, 1555-96.
-
(2001)
Econometrica
, vol.69
, pp. 1555-1596
-
-
Caner, M.1
Hansen, B.2
-
37
-
-
0009923848
-
Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate
-
Caner, M. and L. Kilian (2001) Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate. Journal of International Money and Finance 20, 639-57.
-
(2001)
Journal of International Money and Finance
, vol.20
, pp. 639-657
-
-
Caner, M.1
Kilian, L.2
-
40
-
-
0008775889
-
Currency traders and exchange rate dynamics: A survey of the US market
-
Cheung, Y.-W. and M. Chinn (2001) Currency traders and exchange rate dynamics: a survey of the US market. Journal of International Money and Finance 20, 439-71.
-
(2001)
Journal of International Money and Finance
, vol.20
, pp. 439-471
-
-
Cheung, Y.-W.1
Chinn, M.2
-
41
-
-
0001126361
-
Banking on currency forecasts: How predictable is change in money?
-
Chinn, M. and R. Meese (1995) Banking on currency forecasts: how predictable is change in money? Journal of International Economics 38, 161-78.
-
(1995)
Journal of International Economics
, vol.38
, pp. 161-178
-
-
Chinn, M.1
Meese, R.2
-
43
-
-
0037403873
-
The out-of-sample success of term structure models as exchange rate predictors: A step beyond
-
Clarida, R., L. Sarno, M. Taylor and G. Valente (2003) The out-of-sample success of term structure models as exchange rate predictors: a step beyond. Journal of International Economics 60, 61-83.
-
(2003)
Journal of International Economics
, vol.60
, pp. 61-83
-
-
Clarida, R.1
Sarno, L.2
Taylor, M.3
Valente, G.4
-
44
-
-
0031475350
-
The term structure of forward exchange premiums and the forecastability of spot exchange rates: Correcting the errors
-
Clarida, R. and M. Taylor (1997) The term structure of forward exchange premiums and the forecastability of spot exchange rates: correcting the errors. Review of Economics and Statistics 79, 353-61.
-
(1997)
Review of Economics and Statistics
, vol.79
, pp. 353-361
-
-
Clarida, R.1
Taylor, M.2
-
45
-
-
0003047270
-
Tests of equal forecast accuracy and encompassing for nested models
-
Clark, T. and M. McCracken (2001) Tests of equal forecast accuracy and encompassing for nested models. Journal of Econometrics 105, 85-110.
-
(2001)
Journal of Econometrics
, vol.105
, pp. 85-110
-
-
Clark, T.1
McCracken, M.2
-
46
-
-
8344290789
-
-
Manuscript, Federal Reserve Bank of Kansas City and University of Missouri-Columbia
-
Clark, T. and M. McCracken (2003) Evaluating long horizon forecasts. Manuscript, Federal Reserve Bank of Kansas City and University of Missouri-Columbia.
-
(2003)
Evaluating long horizon forecasts
-
-
Clark, T.1
McCracken, M.2
-
47
-
-
9544235204
-
The power of tests of predictive ability in the presence of structural breaks
-
Clark, T. and M. McCracken (2005) The power of tests of predictive ability in the presence of structural breaks. Journal of Econometrics 124, 1-31.
-
(2005)
Journal of Econometrics
, vol.124
, pp. 1-31
-
-
Clark, T.1
McCracken, M.2
-
50
-
-
0002354520
-
Why do regime-switching models forecast so badly?
-
Dacco, R. and S. Satchell (1999) Why do regime-switching models forecast so badly? Journal of Forecasting 18, 1-16.
-
(1999)
Journal of Forecasting
, vol.18
, pp. 1-16
-
-
Dacco, R.1
Satchell, S.2
-
54
-
-
0017755296
-
Hypothesis testing when a nuisance parameter is present only under the alternative
-
Davies, R. (1977) Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 64, 179-90.
-
(1977)
Biometrika
, vol.64
, pp. 179-190
-
-
Davies, R.1
-
58
-
-
0000754766
-
Explosive rational bubbles in stock prices
-
Diba, B. and H. Grossman (1988) Explosive rational bubbles in stock prices. American Economic Review 78, 520-30.
-
(1988)
American Economic Review
, vol.78
, pp. 520-530
-
-
Diba, B.1
Grossman, H.2
-
60
-
-
0001418135
-
Long memory and regime switching
-
Diebold, F. and A. Inoue (2001) Long memory and regime switching. Journal of Econometrics 105, 131-59.
-
(2001)
Journal of Econometrics
, vol.105
, pp. 131-159
-
-
Diebold, F.1
Inoue, A.2
-
62
-
-
0001413618
-
Temporal aggregation of GARCH processes
-
Drost, F. and T. Nijman (1993) Temporal aggregation of GARCH processes. Econometrica 4, 909-27.
-
(1993)
Econometrica
, vol.4
, pp. 909-927
-
-
Drost, F.1
Nijman, T.2
-
63
-
-
14844296381
-
Predicting real growth and the probability of recession in the Euro-area using the yield spread
-
Duarte, A., I. Venetis and I. Paya (2005) Predicting real growth and the probability of recession in the Euro-area using the yield spread. International Journal of Forecasting 21, 261-77.
-
(2005)
International Journal of Forecasting
, vol.21
, pp. 261-277
-
-
Duarte, A.1
Venetis, I.2
Paya, I.3
-
64
-
-
0000593389
-
Simulated moments estimation of Markov models of asset prices
-
Duffie, D. and K. Singleton (1993) Simulated moments estimation of Markov models of asset prices. Econometrica 61, 929-52.
-
(1993)
Econometrica
, vol.61
, pp. 929-952
-
-
Duffie, D.1
Singleton, K.2
-
65
-
-
0000522890
-
Dynamic equilibrium and the real exchange rate in spatially separated world
-
Dumas, B. (1992) Dynamic equilibrium and the real exchange rate in spatially separated world. Review of Financial Studies 5, 153-80.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 153-180
-
-
Dumas, B.1
-
66
-
-
0000596546
-
Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash
-
Dwyer, G., P. Locke and W. Yu (1996) Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash. Review of Financial Studies 9, 301-32.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 301-332
-
-
Dwyer, G.1
Locke, P.2
Yu, W.3
-
68
-
-
0002158185
-
Testing the adequacy of smooth transition autoregressive models
-
Eitrheim, Ø. and T. Teräsvirta (1996) Testing the adequacy of smooth transition autoregressive models. Journal of Econometrics 74, 59-75.
-
(1996)
Journal of Econometrics
, vol.74
, pp. 59-75
-
-
Eitrheim, Ø.1
Teräsvirta, T.2
-
69
-
-
0032345729
-
Unit root tests and asymmetric adjustment with an example using the term structure of interest rates
-
Enders, W. and C. Granger (1998) Unit root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business and Economic Statistics 16, 304-11.
-
(1998)
Journal of Business and Economic Statistics
, vol.16
, pp. 304-311
-
-
Enders, W.1
Granger, C.2
-
70
-
-
0000230606
-
Long swings in the dollar: Are they in the data and do markets know it?
-
Engel, C. and J. Hamilton (1990) Long swings in the dollar: are they in the data and do markets know it? American Economic Review 80, 689-713.
-
(1990)
American Economic Review
, vol.80
, pp. 689-713
-
-
Engel, C.1
Hamilton, J.2
-
73
-
-
85015857892
-
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
-
Engle, R. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 987-1007.
-
(1982)
Econometrica
, vol.50
, pp. 987-1007
-
-
Engle, R.1
-
74
-
-
1242302768
-
Improved testing and specification of smooth transition regression models
-
P. Rothman (ed.), Dordrecht: Kluwer Academic Publishers
-
Escribano, A. and O. Jordá (1999) Improved testing and specification of smooth transition regression models. In P. Rothman (ed.), Nonlinear Time Series Analysis of Economic and Financial Data. Dordrecht: Kluwer Academic Publishers.
-
(1999)
Nonlinear Time Series Analysis of Economic and Financial Data.
-
-
Escribano, A.1
Jordá, O.2
-
75
-
-
0000027575
-
A test for speculative bubbles in the sterling-dollar exchange rate: 1981-84
-
Evans, G. (1986) A test for speculative bubbles in the sterling-dollar exchange rate: 1981-84. American Economic Review 76, 621-36.
-
(1986)
American Economic Review
, vol.76
, pp. 621-636
-
-
Evans, G.1
-
76
-
-
0000945847
-
Pitfalls in testing for explosive bubbles in asset prices
-
Evans, G. (1991) Pitfalls in testing for explosive bubbles in asset prices. American Economic Review 81, 922-30.
-
(1991)
American Economic Review
, vol.81
, pp. 922-930
-
-
Evans, G.1
-
77
-
-
21844497579
-
Do long-term swings in the dollar affect estimates of the risk premia?
-
Evans, M. and K. Lewis (1995) Do long-term swings in the dollar affect estimates of the risk premia? Review of Financial Studies 3, 709-42.
-
(1995)
Review of Financial Studies
, vol.3
, pp. 709-742
-
-
Evans, M.1
Lewis, K.2
-
78
-
-
33644811364
-
Meese-Rogoff redux: Micro-based exchange rate forecasting
-
Evans, M. and R. Lyons (2005) Meese-Rogoff redux: micro-based exchange rate forecasting. American Economic Review 95, 405-14.
-
(2005)
American Economic Review
, vol.95
, pp. 405-414
-
-
Evans, M.1
Lyons, R.2
-
79
-
-
0000975499
-
The estimation of simultaneous equation models with lagged endogenous variables and first order serially correlated errors
-
Fair, R. (1970) The estimation of simultaneous equation models with lagged endogenous variables and first order serially correlated errors. Econometrica 38, 507-16.
-
(1970)
Econometrica
, vol.38
, pp. 507-516
-
-
Fair, R.1
-
80
-
-
48549113655
-
Forward and spot exchange rates
-
Fama, E.F. (1984) Forward and spot exchange rates. Journal of Monetary Economics 14, 319-38.
-
(1984)
Journal of Monetary Economics
, vol.14
, pp. 319-338
-
-
Fama, E.F.1
-
84
-
-
0000071157
-
A model of stochastic process switching
-
Flood, R. and P. Garber (1983) A model of stochastic process switching. Econometrica 3, 537-51.
-
(1983)
Econometrica
, vol.3
, pp. 537-551
-
-
Flood, R.1
Garber, P.2
-
86
-
-
84995733144
-
On the mark: A theory of floating exchange rate based on real interest differentials
-
Frankel, J. (1979) On the mark: a theory of floating exchange rate based on real interest differentials. American Economic Review 69, 610-22.
-
(1979)
American Economic Review
, vol.69
, pp. 610-622
-
-
Frankel, J.1
-
87
-
-
0002201659
-
How well do foreign exchange markets work: Might a tobin tax help?
-
M. ul Haq, I. Kaul and I. Grunberg (eds.), New York and Oxford: Oxford University Press
-
Frankel, J. (1996) How well do foreign exchange markets work: might a tobin tax help? In M. ul Haq, I. Kaul and I. Grunberg (eds.), The Tobin Tax: Coping with Financial Volatility. New York and Oxford: Oxford University Press.
-
(1996)
The Tobin Tax: Coping with Financial Volatility.
-
-
Frankel, J.1
-
88
-
-
0000131597
-
Using survey data to test standard propositions regarding exchange rate expectations
-
Frankel, J. and K. Froot (1987) Using survey data to test standard propositions regarding exchange rate expectations. American Economic Review 1, 133-53.
-
(1987)
American Economic Review
, vol.1
, pp. 133-153
-
-
Frankel, J.1
Froot, K.2
-
89
-
-
0030462091
-
A panel project on purchasing power parity: Mean reversion within and between countries
-
Frankel, J. and A. Rose (1996) A panel project on purchasing power parity: mean reversion within and between countries. Journal of International Economics 40, 209-24.
-
(1996)
Journal of International Economics
, vol.40
, pp. 209-224
-
-
Frankel, J.1
Rose, A.2
-
90
-
-
13644276500
-
Markov switching regimes in a monetary exchange rate model
-
Frömmel, M., R. MacDonald and L. Menkhoff (2005) Markov switching regimes in a monetary exchange rate model. Economic Modelling 22, 485-502.
-
(2005)
Economic Modelling
, vol.22
, pp. 485-502
-
-
Frömmel, M.1
MacDonald, R.2
Menkhoff, L.3
-
91
-
-
0000738539
-
Intrinsic bubbles: The case of stock prices
-
Froot, K. and M. Obstfeld (1991) Intrinsic bubbles: the case of stock prices. American Economic Review 81, 1189-214.
-
(1991)
American Economic Review
, vol.81
, pp. 1189-1214
-
-
Froot, K.1
Obstfeld, M.2
-
96
-
-
0018872157
-
Long memory relationships and the aggregation of dynamic models
-
Granger, C. (1980) Long memory relationships and the aggregation of dynamic models. Journal of Econometrics 14, 227-38.
-
(1980)
Journal of Econometrics
, vol.14
, pp. 227-238
-
-
Granger, C.1
-
97
-
-
1942444547
-
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
-
Granger, C. and N. Hyung (2004) Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. Journal of Empirical Finance 11, 399-421.
-
(2004)
Journal of Empirical Finance
, vol.11
, pp. 399-421
-
-
Granger, C.1
Hyung, N.2
-
98
-
-
84986792205
-
An introduction to long memory time series models and fractional differencing
-
Granger, C. and R. Joyeux (1980) An introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis 1, 15-29.
-
(1980)
Journal of Time Series Analysis
, vol.1
, pp. 15-29
-
-
Granger, C.1
Joyeux, R.2
-
101
-
-
0041939645
-
A simple nonlinear time series model with misleading linear properties
-
Granger, C. and T. Teräsvirta (1999) A simple nonlinear time series model with misleading linear properties. Economics Letters 62, 161-5.
-
(1999)
Economics Letters
, vol.62
, pp. 161-165
-
-
Granger, C.1
Teräsvirta, T.2
-
102
-
-
0033710835
-
The monetary exchange rate model as a long-run phenomenon
-
Groen, J. (2000) The monetary exchange rate model as a long-run phenomenon. Journal of International Economics 52, 299-319.
-
(2000)
Journal of International Economics
, vol.52
, pp. 299-319
-
-
Groen, J.1
-
103
-
-
22544458181
-
Exchange rate predictability and monetary fundamentals in a small multicountry panel
-
Groen, J. (2005) Exchange rate predictability and monetary fundamentals in a small multicountry panel. Journal of Money, Credit and Banking 37, 495-516.
-
(2005)
Journal of Money, Credit and Banking
, vol.37
, pp. 495-516
-
-
Groen, J.1
-
104
-
-
0037388054
-
Likelihood-based cointegration analysis in panels of vector error correction models
-
Groen, J. and F. Kleibergen (2003) Likelihood-based cointegration analysis in panels of vector error correction models. Journal of Business and Economic Statistics 21, 295-318.
-
(2003)
Journal of Business and Economic Statistics
, vol.21
, pp. 295-318
-
-
Groen, J.1
Kleibergen, F.2
-
105
-
-
33845397955
-
-
Finance and Economics Discussion Series. Division of Monetary Affairs Board of Governors of the Federal Reserve System
-
Gurkaynak, R. (2005) Econometric tests of asset price bubbles: taking stock. Finance and Economics Discussion Series. Division of Monetary Affairs Board of Governors of the Federal Reserve System.
-
(2005)
Econometric tests of asset price bubbles: Taking stock
-
-
Gurkaynak, R.1
-
106
-
-
0031314506
-
Understanding spot and forward exchange rate regressions
-
Hai, W., N. Mark and Y. Wu (1997) Understanding spot and forward exchange rate regressions. Journal of Applied Econometrics 12, 715-36.
-
(1997)
Journal of Applied Econometrics
, vol.12
, pp. 715-736
-
-
Hai, W.1
Mark, N.2
Wu, Y.3
-
107
-
-
45149138487
-
Analysis of time series subject to changes in regime
-
Hamilton, J. (1990) Analysis of time series subject to changes in regime. Journal of Econometrics 45, 39-70.
-
(1990)
Journal of Econometrics
, vol.45
, pp. 39-70
-
-
Hamilton, J.1
-
108
-
-
84984729117
-
-
Princeton: Princeton University Press
-
Hamilton, J. (1994) Time Series Analysis. Princeton: Princeton University Press.
-
(1994)
Time Series Analysis.
-
-
Hamilton, J.1
-
110
-
-
0000414660
-
Large sample properties of generalised method of moments estimators
-
Hansen, L. (1982) Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-54.
-
(1982)
Econometrica
, vol.50
, pp. 1029-1054
-
-
Hansen, L.1
-
111
-
-
0000714094
-
Forward exchange rates as optimal predictors of future spot rates: An econometric analysis
-
Hansen, L. and R. Hodrick (1980) Forward exchange rates as optimal predictors of future spot rates: an econometric analysis. Journal of Political Economy 5, 829-53.
-
(1980)
Journal of Political Economy
, vol.5
, pp. 829-853
-
-
Hansen, L.1
Hodrick, R.2
-
112
-
-
0142138095
-
Some limit theory for autocovariances whose order depend on sample size
-
Harris, D., B. McCabe and S. Leybourne (2003) Some limit theory for autocovariances whose order depend on sample size. Econometric Theory 19, 829-64.
-
(2003)
Econometric Theory
, vol.19
, pp. 829-864
-
-
Harris, D.1
McCabe, B.2
Leybourne, S.3
-
113
-
-
33847622918
-
Testing for time series linearity
-
Harvey, D. and S. Leybourne (2007) Testing for time series linearity. Econometrics Journal 10, 149-65.
-
(2007)
Econometrics Journal
, vol.10
, pp. 149-165
-
-
Harvey, D.1
Leybourne, S.2
-
116
-
-
0036055645
-
Purchasing power parity under the gold standard
-
Hegwood, N. and D. Papell (2002) Purchasing power parity under the gold standard. Southern Economic Journal 69, 72-91.
-
(2002)
Southern Economic Journal
, vol.69
, pp. 72-91
-
-
Hegwood, N.1
Papell, D.2
-
118
-
-
0000358347
-
Risk, uncertainty, and exchange rates
-
Hodrick, R. (1989) Risk, uncertainty, and exchange rates. Journal of Monetary Economics 23, 433-59.
-
(1989)
Journal of Monetary Economics
, vol.23
, pp. 433-459
-
-
Hodrick, R.1
-
119
-
-
84974082784
-
Testing for cointegration when some of the cointegrating vectors are prespecified
-
Horvath, M. and M. Watson (1995) Testing for cointegration when some of the cointegrating vectors are prespecified. Econometric Theory 11, 984-1014.
-
(1995)
Econometric Theory
, vol.11
, pp. 984-1014
-
-
Horvath, M.1
Watson, M.2
-
120
-
-
0035585826
-
Tail-index estimates in small samples
-
Huisman, R., K. Koedijk, J. Clemens and F. Kool (2001) Tail-index estimates in small samples. Journal of Business and Economic Statistics 19, 208-16.
-
(2001)
Journal of Business and Economic Statistics
, vol.19
, pp. 208-216
-
-
Huisman, R.1
Koedijk, K.2
Clemens, J.3
Kool, F.4
-
121
-
-
0010745065
-
The target zone model, non-linearity and mean reversion: Is the honeymoon really over?
-
Iannizzotto, M. and M. Taylor (1999) The target zone model, non-linearity and mean reversion: is the honeymoon really over? Economic Journal 109, C96-110.
-
(1999)
Economic Journal
, vol.109
, pp. C96-C110
-
-
Iannizzotto, M.1
Taylor, M.2
-
123
-
-
0346724400
-
Testing for a unit root in the nonlinear STAR framework
-
Kapetanios, G., Y. Shin and A. Snell. (2003a) Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112, 359-79.
-
(2003)
Journal of Econometrics
, vol.112
, pp. 359-379
-
-
Kapetanios, G.1
Shin, Y.2
Snell, A.3
-
126
-
-
0033445337
-
Exchange rates and monetary fundamentals: What do we learn from long-horizon regressions?
-
Kilian, L. (1999) Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions? Journal of Applied Econometrics 14, 491-510.
-
(1999)
Journal of Applied Econometrics
, vol.14
, pp. 491-510
-
-
Kilian, L.1
-
130
-
-
0001353625
-
Impulse response analysis in nonlinear multivariate models
-
Koop, G., H. Pesaran and S. Potter (1996) Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 74, 119-47.
-
(1996)
Journal of Econometrics
, vol.74
, pp. 119-147
-
-
Koop, G.1
Pesaran, H.2
Potter, S.3
-
131
-
-
0000277964
-
Target zones and exchange rate dynamics
-
Krugman, P. (1991) Target zones and exchange rate dynamics. Quarterly Journal of Economics 106, 669-82.
-
(1991)
Quarterly Journal of Economics
, vol.106
, pp. 669-682
-
-
Krugman, P.1
-
132
-
-
34247480179
-
Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
-
Kwiatkowski, D., P. Phillips, P. Schmidt and Y. Shin (1992) Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics 54, 159-78.
-
(1992)
Journal of Econometrics
, vol.54
, pp. 159-178
-
-
Kwiatkowski, D.1
Phillips, P.2
Schmidt, P.3
Shin, Y.4
-
133
-
-
0001717704
-
Simulation estimation of time-series models
-
Lee, B. and B. Ingram (1991) Simulation estimation of time-series models. Journal of Econometrics 47, 197-205.
-
(1991)
Journal of Econometrics
, vol.47
, pp. 197-205
-
-
Lee, B.1
Ingram, B.2
-
134
-
-
33746237679
-
Why use Markov-switching models in exchange rate prediction?
-
Lee, H.-Y. and S.-L. Chen (2006) Why use Markov-switching models in exchange rate prediction? Economic Modelling 23, 662-8.
-
(2006)
Economic Modelling
, vol.23
, pp. 662-668
-
-
Lee, H.-Y.1
Chen, S.-L.2
-
138
-
-
0000712557
-
Bootstrap procedure under some non i.i.d. models
-
Liu, R. (1988) Bootstrap procedure under some non i.i.d. models. Annals of Statistics 16, 1696-708.
-
(1988)
Annals of Statistics
, vol.16
, pp. 1696-1708
-
-
Liu, R.1
-
139
-
-
0000119560
-
Testing the covariance structure of heavy-tailed time series
-
Loretan, M. and P. Phillips (1994) Testing the covariance structure of heavy-tailed time series. Journal of Empirical Finance 1, 211-48.
-
(1994)
Journal of Empirical Finance
, vol.1
, pp. 211-248
-
-
Loretan, M.1
Phillips, P.2
-
140
-
-
0031068989
-
Multi-country evidence on the behavior of purchasing power parity under the current float
-
Lothian, J. (1997) Multi-country evidence on the behavior of purchasing power parity under the current float. Journal of International Money and Finance 16, 19-35.
-
(1997)
Journal of International Money and Finance
, vol.16
, pp. 19-35
-
-
Lothian, J.1
-
141
-
-
0030480824
-
Real exchange rate behaviour: The recent float from the perspective of the past two centuries
-
Lothian, J. and M. Taylor (1996) Real exchange rate behaviour: the recent float from the perspective of the past two centuries. Journal of Political Economy 104, 488-509.
-
(1996)
Journal of Political Economy
, vol.104
, pp. 488-509
-
-
Lothian, J.1
Taylor, M.2
-
142
-
-
0034288463
-
Purchasing power parity over two centuries: Strengthening the case for real exchange rate stability: A reply to Cuddington and Liang
-
Lothian, J. and M. Taylor (2000) Purchasing power parity over two centuries: strengthening the case for real exchange rate stability: a reply to Cuddington and Liang. Journal of International Money and Finance 19, 759-64.
-
(2000)
Journal of International Money and Finance
, vol.19
, pp. 759-764
-
-
Lothian, J.1
Taylor, M.2
-
143
-
-
0013148655
-
Interest rates and currency price in a two-country world
-
Lucas, R. (1982) Interest rates and currency price in a two-country world. Journal of Monetary Economics 10, 335-59.
-
(1982)
Journal of Monetary Economics
, vol.10
, pp. 335-359
-
-
Lucas, R.1
-
145
-
-
33644508431
-
A time series model for an exchange rate in a target zone with applications
-
Lundbergh, S. and T. Teräsvirta (2006) A time series model for an exchange rate in a target zone with applications. Journal of Econometrics 131, 579-609.
-
(2006)
Journal of Econometrics
, vol.131
, pp. 579-609
-
-
Lundbergh, S.1
Teräsvirta, T.2
-
146
-
-
0000894103
-
Testing linearity against smooth transition autoregressive model
-
Luukkonen, R., P. Saikkonen and T. Teräsvirta (1988) Testing linearity against smooth transition autoregressive model. Biometrika 75, 491-99.
-
(1988)
Biometrika
, vol.75
, pp. 491-499
-
-
Luukkonen, R.1
Saikkonen, P.2
Teräsvirta, T.3
-
149
-
-
21844516997
-
Long-run purchasing power parity: Is it for real?
-
MacDonald, R. (1993) Long-run purchasing power parity: is it for real? Review of Economics and Statistics 75, 690-5.
-
(1993)
Review of Economics and Statistics
, vol.75
, pp. 690-695
-
-
MacDonald, R.1
-
150
-
-
38149146963
-
The monetary model of the exchange rate: Longrun relationships, short-run dynamics and how to beat a random walk
-
MacDonald, R. and M. Taylor (1994) The monetary model of the exchange rate: longrun relationships, short-run dynamics and how to beat a random walk. Journal of International Money and Finance 13, 276-90.
-
(1994)
Journal of International Money and Finance
, vol.13
, pp. 276-290
-
-
MacDonald, R.1
Taylor, M.2
-
151
-
-
0000921289
-
Some heteroskedasticity consistent covariance matrix estimators with improved finite sample properties
-
MacKinnon, J. and H. White (1985) Some heteroskedasticity consistent covariance matrix estimators with improved finite sample properties. Journal of Econometrics 29, 305-25.
-
(1985)
Journal of Econometrics
, vol.29
, pp. 305-325
-
-
MacKinnon, J.1
White, H.2
-
152
-
-
21144477186
-
Bootstrap and wild bootstrap for high dimensional linear models
-
Mammen, E. (1993). Bootstrap and wild bootstrap for high dimensional linear models. Annals of Statistics 21, 255-85.
-
(1993)
Annals of Statistics
, vol.21
, pp. 255-285
-
-
Mammen, E.1
-
153
-
-
0001244268
-
Real and nominal exchange rates in the long run
-
Mark, N. (1990) Real and nominal exchange rates in the long run. Journal of International Economics 28, 115-36.
-
(1990)
Journal of International Economics
, vol.28
, pp. 115-136
-
-
Mark, N.1
-
154
-
-
0001413344
-
Exchange rates and fundamentals: Evidence on long-horizon predictability
-
Mark, N. (1995) Exchange rates and fundamentals: evidence on long-horizon predictability. American Economic Review 85, 201-18.
-
(1995)
American Economic Review
, vol.85
, pp. 201-218
-
-
Mark, N.1
-
155
-
-
0035154184
-
Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton Woods panel
-
Mark, N. and D. Sul (2001) Nominal exchange rates and monetary fundamentals: evidence from a small post-Bretton Woods panel. Journal of International Economics 53, 29-52.
-
(2001)
Journal of International Economics
, vol.53
, pp. 29-52
-
-
Mark, N.1
Sul, D.2
-
156
-
-
0035562324
-
Rethinking an old empirical puzzle: Econometric evidence on the forward discount anomaly
-
Maynard, A. and P. Phillips (2001) Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly. Journal of Applied Econometrics 6, 671-708.
-
(2001)
Journal of Applied Econometrics
, vol.6
, pp. 671-708
-
-
Maynard, A.1
Phillips, P.2
-
157
-
-
38149143534
-
A reconsideration of the uncovered interest parity relationship
-
McCallum, B. (1994) A reconsideration of the uncovered interest parity relationship. Journal of Monetary Economics 33, 105-32.
-
(1994)
Journal of Monetary Economics
, vol.33
, pp. 105-132
-
-
McCallum, B.1
-
159
-
-
22544462209
-
Evaluating the predictability of exchange rates using long-horizon regressions: Mind your p’s and q’s!
-
McCracken, M. and S. Sapp (2005) Evaluating the predictability of exchange rates using long-horizon regressions: mind your p’s and q’s! Journal of Money, Credit and Banking 37, 473-94.
-
(2005)
Journal of Money, Credit and Banking
, vol.37
, pp. 473-494
-
-
McCracken, M.1
Sapp, S.2
-
160
-
-
84936219164
-
Testing for bubbles in exchange markets: A case of sparkling rates?
-
Meese, R. (1986) Testing for bubbles in exchange markets: a case of sparkling rates? Journal of Political Economy 94, 345-73.
-
(1986)
Journal of Political Economy
, vol.94
, pp. 345-373
-
-
Meese, R.1
-
161
-
-
33846907054
-
Empirical exchange rate models of the seventies: Do they fit out of sample?
-
Meese, R. and K. Rogoff (1983a) Empirical exchange rate models of the seventies: do they fit out of sample? Journal of International Economics 14, 3-24.
-
(1983)
Journal of International Economics
, vol.14
, pp. 3-24
-
-
Meese, R.1
Rogoff, K.2
-
162
-
-
0001851162
-
The out-of-sample failure of empirical exchange rate models: Sampling error or misspecification?
-
J. Frenkel (ed.), Chicago: University of Chicago Press
-
Meese, R. and K. Rogoff (1983b) The out-of-sample failure of empirical exchange rate models: sampling error or misspecification? In J. Frenkel (ed.), Exchange Rates and International Macroeconomics. Chicago: University of Chicago Press.
-
(1983)
Exchange Rates and International Macroeconomics.
-
-
Meese, R.1
Rogoff, K.2
-
163
-
-
0000060713
-
Nonlinear, nonparametric, nonessential exchange rate estimation
-
Meese, R. and A.K. Rose (1990) Nonlinear, nonparametric, nonessential exchange rate estimation. American Economic Review 80, 192-96.
-
(1990)
American Economic Review
, vol.80
, pp. 192-196
-
-
Meese, R.1
Rose, A.K.2
-
164
-
-
0000017295
-
Transactions costs and nonlinear adjustment in real exchange rates: An empirical investigation
-
Michael, P., A. Nobay and D. Peel (1997) Transactions costs and nonlinear adjustment in real exchange rates: an empirical investigation. Journal of Political Economy 105, 862-79.
-
(1997)
Journal of Political Economy
, vol.105
, pp. 862-879
-
-
Michael, P.1
Nobay, A.2
Peel, D.3
-
165
-
-
0000122250
-
Exchange rate bands with price inertia
-
Miller, M. and P. Weller (1991) Exchange rate bands with price inertia. Economic Journal 101, 1380-99.
-
(1991)
Economic Journal
, vol.101
, pp. 1380-1399
-
-
Miller, M.1
Weller, P.2
-
167
-
-
34249082757
-
On the equality of real interest rates across borders in integrated capital markets
-
Minford, A. and D. Peel (2007) On the equality of real interest rates across borders in integrated capital markets. Open Economies Review 18, 119-25.
-
(2007)
Open Economies Review
, vol.18
, pp. 119-125
-
-
Minford, A.1
Peel, D.2
-
168
-
-
0036116578
-
Mean reversion in stock index futures markets: A nonlinear analysis
-
Monoyios, M. and L. Sarno (2002) Mean reversion in stock index futures markets: a nonlinear analysis. Journal of Futures Markets 22, 285-314.
-
(2002)
Journal of Futures Markets
, vol.22
, pp. 285-314
-
-
Monoyios, M.1
Sarno, L.2
-
169
-
-
21844510052
-
A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency, Baillie and Bollerslev revisited
-
Moore, M. and L. Copeland (1995) A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency, Baillie and Bollerslev revisited. Economics Letters 47, 131-5.
-
(1995)
Economics Letters
, vol.47
, pp. 131-135
-
-
Moore, M.1
Copeland, L.2
-
170
-
-
0141589707
-
How well do monetary fundamentals forecast exchanges rates?
-
Neely, C. and L. Sarno (2002) How well do monetary fundamentals forecast exchanges rates? Federal Reserve Bank of St. Louis Review 84, 51-74.
-
(2002)
Federal Reserve Bank of St. Louis Review
, vol.84
, pp. 51-74
-
-
Neely, C.1
Sarno, L.2
-
172
-
-
0031541876
-
Nonlinear aspects of goods-market arbitrage and adjustment: Hecksher’s commodity points revisited
-
Obstfeld, M. and A. Taylor (1997) Nonlinear aspects of goods-market arbitrage and adjustment: Hecksher’s commodity points revisited. Journal of the Japanese and International Economies 11, 441-79.
-
(1997)
Journal of the Japanese and International Economies
, vol.11
, pp. 441-479
-
-
Obstfeld, M.1
Taylor, A.2
-
177
-
-
0142104989
-
Purchasing power parity adjustment speeds in high frequency data when the equilibrium real exchange rate is proxied by a deterministic trend
-
Paya, I. and D. Peel (2003) Purchasing power parity adjustment speeds in high frequency data when the equilibrium real exchange rate is proxied by a deterministic trend. Manchester School 71, 39-53.
-
(2003)
Manchester School
, vol.71
, pp. 39-53
-
-
Paya, I.1
Peel, D.2
-
178
-
-
8344261538
-
Real exchange rates under the gold standard: Nonlinear adjustments
-
Paya, I. and D. Peel (2004) Real exchange rates under the gold standard: nonlinear adjustments. Southern Economic Journal 71, 302-13.
-
(2004)
Southern Economic Journal
, vol.71
, pp. 302-313
-
-
Paya, I.1
Peel, D.2
-
179
-
-
33845762422
-
A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994
-
Paya, I. and D. Peel. (2006a) A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994. Journal of Money, Credit and Banking 38, 1971-90.
-
(2006)
Journal of Money, Credit and Banking
, vol.38
, pp. 1971-1990
-
-
Paya, I.1
Peel, D.2
-
180
-
-
31344469347
-
On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
-
Paya, I. and D. Peel. (2006b) On the speed of adjustment in ESTAR models when allowance is made for bias in estimation. Economics Letters 90, 272-7.
-
(2006)
Economics Letters
, vol.90
, pp. 272-277
-
-
Paya, I.1
Peel, D.2
-
181
-
-
33747474400
-
Temporal aggregation of an ESTAR process: Some implications for purchasing power parity adjustment
-
Paya, I. and D. Peel. (2006c) Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment. Journal of Applied Econometrics 21, 655-68.
-
(2006)
Journal of Applied Econometrics
, vol.21
, pp. 655-668
-
-
Paya, I.1
Peel, D.2
-
182
-
-
33845392643
-
On the relationship between nominal exchange rates and domestic and foreign prices
-
Paya, I. and D. Peel. (2007a) On the relationship between nominal exchange rates and domestic and foreign prices. Applied Financial Economics 17, 105-17.
-
(2007)
Applied Financial Economics
, vol.17
, pp. 105-117
-
-
Paya, I.1
Peel, D.2
-
184
-
-
0042071346
-
Further evidence on PPP adjusment speeds: The case of effective real exchange rates and the EMS
-
Paya, I., I. Venetis and D. Peel (2003) Further evidence on PPP adjusment speeds: the case of effective real exchange rates and the EMS. Oxford Bulletin of Economics and Statistics 65, 421-38.
-
(2003)
Oxford Bulletin of Economics and Statistics
, vol.65
, pp. 421-438
-
-
Paya, I.1
Venetis, I.2
Peel, D.3
-
185
-
-
0032220971
-
A non-linear error correction mechanism based on the bilinear model
-
Peel, D. and J. Davidson (1998) A non-linear error correction mechanism based on the bilinear model. Economics Letters 2, 165-70.
-
(1998)
Economics Letters
, vol.2
, pp. 165-170
-
-
Peel, D.1
Davidson, J.2
-
186
-
-
0036003803
-
Covered interest arbitrage in the interwar period and the Keynes-Einzig conjecture
-
Peel, D. and M. Taylor (2002) Covered interest arbitrage in the interwar period and the Keynes-Einzig conjecture. Journal of Money, Credit and Banking 34, 51-75.
-
(2002)
Journal of Money, Credit and Banking
, vol.34
, pp. 51-75
-
-
Peel, D.1
Taylor, M.2
-
187
-
-
27844506967
-
Smooth transition models and arbitrage consistency
-
Peel, D. and I. Venetis (2005) Smooth transition models and arbitrage consistency. Economica 72, 413-30.
-
(2005)
Economica
, vol.72
, pp. 413-430
-
-
Peel, D.1
Venetis, I.2
-
188
-
-
84993877356
-
Predictability of stock returns: Robustness and economic significance
-
Pesaran, H. and A. Timmermann (1995) Predictability of stock returns: robustness and economic significance. Journal of Finance 50, 1201-28.
-
(1995)
Journal of Finance
, vol.50
, pp. 1201-1228
-
-
Pesaran, H.1
Timmermann, A.2
-
189
-
-
84971897276
-
Shortcut to LAD estimator asymptotics
-
Phillips, P. (1991) Shortcut to LAD estimator asymptotics. Econometric Theory 4, 450-63.
-
(1991)
Econometric Theory
, vol.4
, pp. 450-463
-
-
Phillips, P.1
-
190
-
-
84974142622
-
Robust nonstationary regression
-
Phillips, P. (1995) Robust nonstationary regression. Econometric Theory 5, 912-51.
-
(1995)
Econometric Theory
, vol.5
, pp. 912-951
-
-
Phillips, P.1
-
191
-
-
84959818799
-
Statistical inference in instrumental variables regression with I(1) processes
-
Phillips, P. and B. Hansen (1990) Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57, 99-125.
-
(1990)
Review of Economic Studies
, vol.57
, pp. 99-125
-
-
Phillips, P.1
Hansen, B.2
-
193
-
-
21344432284
-
Robust tests of forward exchange market efficiency with empirical evidence from the 1920s
-
Phillips, P., J. McFarland and P. McMahon (1996) Robust tests of forward exchange market efficiency with empirical evidence from the 1920s. Journal of Applied Econometrics 1, 1-22.
-
(1996)
Journal of Applied Econometrics
, vol.1
, pp. 1-22
-
-
Phillips, P.1
McFarland, J.2
McMahon, P.3
-
195
-
-
84981566396
-
A note on the empirical power of unit root tests under threshold processes
-
Pippenger, M. and G. Goering (1993) A note on the empirical power of unit root tests under threshold processes. Oxford Bulletin of Economics and Statistics 55, 473-81.
-
(1993)
Oxford Bulletin of Economics and Statistics
, vol.55
, pp. 473-481
-
-
Pippenger, M.1
Goering, G.2
-
197
-
-
4344576397
-
Testing the monetary model of exchange rate determination: A closer look at panels
-
Rapach, D. and M. Wohar (2004) Testing the monetary model of exchange rate determination: a closer look at panels. Journal of International Money and Finance 23, 867-95.
-
(2004)
Journal of International Money and Finance
, vol.23
, pp. 867-895
-
-
Rapach, D.1
Wohar, M.2
-
198
-
-
0000786475
-
The purchasing power parity puzzle
-
Rogoff, K. (1996) The purchasing power parity puzzle. Journal of Economic Literature 34, 647-68.
-
(1996)
Journal of Economic Literature
, vol.34
, pp. 647-668
-
-
Rogoff, K.1
-
199
-
-
0000145080
-
Monetary models of dollar/yen/euro nominal exchange rates: Dead or undead?
-
Rogoff, K. (1999) Monetary models of dollar/yen/euro nominal exchange rates: dead or undead? Economic Journal 109, F655-9.
-
(1999)
Economic Journal
, vol.109
, pp. F655-F659
-
-
Rogoff, K.1
-
200
-
-
0002679349
-
Violations of purchasing power parity and their implications for efficient international commodity markets
-
G.S.S. Marshall (ed.), Cambridge, Mass.: Ballinger
-
Roll, R. (1979) Violations of purchasing power parity and their implications for efficient international commodity markets. In G.S.S. Marshall (ed.), International Finance and Trade, Volume 1, pp. 133-76. Cambridge, Mass.: Ballinger.
-
(1979)
International Finance and Trade
, vol.1
, pp. 133-176
-
-
Roll, R.1
-
202
-
-
27744590844
-
Testing long-horizon predictive ability with high persistence, and the Meese-Rogoff puzzle
-
Rossi, B. (2005) Testing long-horizon predictive ability with high persistence, and the Meese-Rogoff puzzle. International Economic Review 46, 61-92.
-
(2005)
International Economic Review
, vol.46
, pp. 61-92
-
-
Rossi, B.1
-
203
-
-
33645748074
-
Are exchange rates really random walks? Some evidence robust to parameter instability
-
Rossi, B. (2006) Are exchange rates really random walks? Some evidence robust to parameter instability. Macroeconomic Dynamics 10, 20-38.
-
(2006)
Macroeconomic Dynamics
, vol.10
, pp. 20-38
-
-
Rossi, B.1
-
204
-
-
84971946892
-
Asymptotically efficient estimation of cointegration regressions
-
Saikkonen, P. (1991) Asymptotically efficient estimation of cointegration regressions. Econometric Theory 7, 1-21.
-
(1991)
Econometric Theory
, vol.7
, pp. 1-21
-
-
Saikkonen, P.1
-
207
-
-
0001864474
-
Modelling nonlinearities in real effective exchange rates
-
Sarantis, N. (1999) Modelling nonlinearities in real effective exchange rates. Journal of International Money and Finance 18, 27-45.
-
(1999)
Journal of International Money and Finance
, vol.18
, pp. 27-45
-
-
Sarantis, N.1
-
208
-
-
0032349532
-
Real exchange rates under the recent float: Unequivocal evidence of mean reversion
-
Sarno, L. and M. Taylor (1998) Real exchange rates under the recent float: unequivocal evidence of mean reversion. Economics Letters 60, 131-7.
-
(1998)
Economics Letters
, vol.60
, pp. 131-137
-
-
Sarno, L.1
Taylor, M.2
-
211
-
-
85015858097
-
Exchange rates and fundamentals: Footloose or evolving relationship?
-
Frankfurt: Joint Workshop of the European Central Bank and the Bank of Canada
-
Sarno, L. and G. Valente (2005) Exchange rates and fundamentals: footloose or evolving relationship?. In Exchange Rate Determinants and Economic Impacts. Frankfurt: Joint Workshop of the European Central Bank and the Bank of Canada.
-
(2005)
Exchange Rate Determinants and Economic Impacts.
-
-
Sarno, L.1
Valente, G.2
-
212
-
-
33750373410
-
Nonlinearity in deviations from uncovered interest parity: An explanation of the forward bias puzzle
-
Sarno, L., G. Valente and H. Leon (2006) Nonlinearity in deviations from uncovered interest parity: an explanation of the forward bias puzzle. Review of Finance 10, 443-82.
-
(2006)
Review of Finance
, vol.10
, pp. 443-482
-
-
Sarno, L.1
Valente, G.2
Leon, H.3
-
213
-
-
2442522355
-
Monetary fundamentals and exchange rate dynamics under different nominal regimes
-
Sarno, L., G. Valente and M. Wohar. (2004b) Monetary fundamentals and exchange rate dynamics under different nominal regimes. Economic Inquiry 42, 179-93.
-
(2004)
Economic Inquiry
, vol.42
, pp. 179-193
-
-
Sarno, L.1
Valente, G.2
Wohar, M.3
-
214
-
-
84993915037
-
The exchange rate in the presence of transaction costs: Implications for tests of purchasing power parity
-
Sercu, P., R. Uppal and C. Van Hulle (1995) The exchange rate in the presence of transaction costs: implications for tests of purchasing power parity. Journal of Finance 50, 1309-19.
-
(1995)
Journal of Finance
, vol.50
, pp. 1309-1319
-
-
Sercu, P.1
Uppal, R.2
Van Hulle, C.3
-
215
-
-
84974450849
-
A residual-based test of the null of cointegration against the alternative of no cointegration
-
Shin, Y. (1994) A residual-based test of the null of cointegration against the alternative of no cointegration. Econometric Theory 10, 91-115.
-
(1994)
Econometric Theory
, vol.10
, pp. 91-115
-
-
Shin, Y.1
-
217
-
-
22544448394
-
Joint tests for non-linearity and long memory: The case of purchasing power parity
-
Smallwood, A. (2005) Joint tests for non-linearity and long memory: the case of purchasing power parity. Studies in Nonlinear Dynamics and Econometrics 9, 1-28.
-
(2005)
Studies in Nonlinear Dynamics and Econometrics
, vol.9
, pp. 1-28
-
-
Smallwood, A.1
-
218
-
-
20744442433
-
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
-
Spagnola, F., Z. Psaradakis and M. Sola (2005) Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables. Journal of Applied Econometrics 20, 423-37.
-
(2005)
Journal of Applied Econometrics
, vol.20
, pp. 423-437
-
-
Spagnola, F.1
Psaradakis, Z.2
Sola, M.3
-
219
-
-
0001527764
-
A simple estimator of cointegrating vectors in higher order integrated systems
-
Stock, J. and M.Watson (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 4, 783-820.
-
(1993)
Econometrica
, vol.4
, pp. 783-820
-
-
Stock, J.1
Watson, M.2
-
220
-
-
0345822598
-
The positive false discovery rate: A Bayesian interpretation and the qvalue
-
Storey, J. (2003) The positive false discovery rate: a Bayesian interpretation and the qvalue. Annals of Statistics 31, 2013-35.
-
(2003)
Annals of Statistics
, vol.31
, pp. 2013-2035
-
-
Storey, J.1
-
221
-
-
0001436323
-
Potential pitfalls for the purchasing-power parity puzzle? Sampling and specification biases in mean-reversion tests of the law of one price
-
Taylor, A. (2001) Potential pitfalls for the purchasing-power parity puzzle? Sampling and specification biases in mean-reversion tests of the law of one price. Econometrica 69, 473-98.
-
(2001)
Econometrica
, vol.69
, pp. 473-498
-
-
Taylor, A.1
-
222
-
-
0000728598
-
Covered interest parity: A high-frequency, high-quality data study
-
Taylor, M. (1987) Covered interest parity: a high-frequency, high-quality data study. Economica 54, 429-38.
-
(1987)
Economica
, vol.54
, pp. 429-438
-
-
Taylor, M.1
-
223
-
-
84948866113
-
An empirical examination of long run purchasing power parity using cointegration techniques
-
Taylor, M. (1988) An empirical examination of long run purchasing power parity using cointegration techniques. Applied Economics 20, 1369-81.
-
(1988)
Applied Economics
, vol.20
, pp. 1369-1381
-
-
Taylor, M.1
-
224
-
-
0001436003
-
Covered interest arbitrage and market turbulence
-
Taylor, M. (1989) Covered interest arbitrage and market turbulence. Economic Journal 99, 376-91.
-
(1989)
Economic Journal
, vol.99
, pp. 376-391
-
-
Taylor, M.1
-
225
-
-
0001795161
-
The economics of exchange rates
-
Taylor, M. (1995) The economics of exchange rates. Journal of Economic Literature 33, 13-47.
-
(1995)
Journal of Economic Literature
, vol.33
, pp. 13-47
-
-
Taylor, M.1
-
226
-
-
0035583715
-
On the mean-reverting properties of target zone exchange rates: A cautionary note
-
Taylor, M. and M. Iannizzotto (2001) On the mean-reverting properties of target zone exchange rates: a cautionary note. Economics Letters 71, 117-29.
-
(2001)
Economics Letters
, vol.71
, pp. 117-129
-
-
Taylor, M.1
Iannizzotto, M.2
-
227
-
-
0037403617
-
Why is it so difficult to beat the random walk forecast of exchange rates?
-
Taylor, M. and L. Kilian (2003) Why is it so difficult to beat the random walk forecast of exchange rates? Journal of International Economics 60, 85-107.
-
(2003)
Journal of International Economics
, vol.60
, pp. 85-107
-
-
Taylor, M.1
Kilian, L.2
-
228
-
-
0034135003
-
Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals
-
Taylor, M. and D. Peel (2000) Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals. Journal of International Money and Finance 19, 33-53.
-
(2000)
Journal of International Money and Finance
, vol.19
, pp. 33-53
-
-
Taylor, M.1
Peel, D.2
-
229
-
-
0003045718
-
Nonlinear mean-reversion in real exchange rates: Toward a solution to the purchasing power parity puzzles
-
Taylor, M., D. Peel and L. Sarno (2001) Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles. International Economic Review 42, 1015-42.
-
(2001)
International Economic Review
, vol.42
, pp. 1015-1042
-
-
Taylor, M.1
Peel, D.2
Sarno, L.3
-
230
-
-
1142268777
-
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: The resolution of a conundrum
-
Taylor, M., D. Peel and L. Sarno (2004) International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum. International Journal of Finance 9, 15-23.
-
(2004)
International Journal of Finance
, vol.9
, pp. 15-23
-
-
Taylor, M.1
Peel, D.2
Sarno, L.3
-
231
-
-
0041914209
-
SETS, arbitrage activity, and stock price dynamics
-
Taylor, N., D. Van Dijk, P. Franses and A. Lucas (2000) SETS, arbitrage activity, and stock price dynamics. Journal of Banking and Finance 24, 1289-306.
-
(2000)
Journal of Banking and Finance
, vol.24
, pp. 1289-1306
-
-
Taylor, N.1
Van Dijk, D.2
Franses, P.3
Lucas, A.4
-
232
-
-
84923053681
-
Specification, estimation, and evaluation of smooth transition autoregressive models
-
Teräsvirta, T. (1994) Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association 89, 208-18.
-
(1994)
Journal of the American Statistical Association
, vol.89
, pp. 208-218
-
-
Teräsvirta, T.1
-
235
-
-
85045980281
-
Smooth transition autoregressive models-a survey of recent developments
-
Van Dijk, D., T. Teräsvirta and P. Frances (2002) Smooth transition autoregressive models-a survey of recent developments. Econometrics Reviews 21, 1-47.
-
(2002)
Econometrics Reviews
, vol.21
, pp. 1-47
-
-
Van Dijk, D.1
Teräsvirta, T.2
Frances, P.3
-
236
-
-
85015952613
-
Do real exchange rates “mean revert” to productivity?
-
Mimeo, Lancaster University
-
Venetis, I., I. Paya and D. Peel (2005) Do real exchange rates “mean revert” to productivity? A nonlinear approach. Mimeo, Lancaster University.
-
(2005)
A nonlinear approach
-
-
Venetis, I.1
Paya, I.2
Peel, D.3
-
237
-
-
34248577073
-
Deterministic impulse response in a nonlinear model An analytic expression
-
Venetis, I., I. Paya and D. Peel (2007) Deterministic impulse response in a nonlinear model An analytic expression. Economics Letters 95, 315-19.
-
(2007)
Economics Letters
, vol.95
, pp. 315-319
-
-
Venetis, I.1
Paya, I.2
Peel, D.3
-
238
-
-
0001760867
-
Trend function hypothesis testing in the presence of serial correlation
-
Vogelsang, T. (1998) Trend function hypothesis testing in the presence of serial correlation. Econometrica 66, 123-48.
-
(1998)
Econometrica
, vol.66
, pp. 123-148
-
-
Vogelsang, T.1
-
239
-
-
12744280558
-
Measuring tail thickness under GARCH and an application to extreme exchange rate changes
-
Wagner, N. and Marsh, T.A. (2005) Measuring tail thickness under GARCH and an application to extreme exchange rate changes. Journal of Empirical Finance 12, 165-85.
-
(2005)
Journal of Empirical Finance
, vol.12
, pp. 165-185
-
-
Wagner, N.1
Marsh, T.A.2
-
240
-
-
84952496072
-
Time-varying parameters and the out-of-sample forecasting performance of structural exchange rate models
-
Wolff, C. (1987) Time-varying parameters and the out-of-sample forecasting performance of structural exchange rate models. Journal of Business and Economic Statistics 5, 87-97.
-
(1987)
Journal of Business and Economic Statistics
, vol.5
, pp. 87-97
-
-
Wolff, C.1
-
241
-
-
84972113785
-
A unified approach to robust, regression-based specification tests
-
Wooldridge, J. (1990) A unified approach to robust, regression-based specification tests. Econometric Theory 6, 17-43.
-
(1990)
Econometric Theory
, vol.6
, pp. 17-43
-
-
Wooldridge, J.1
-
242
-
-
84974466086
-
On the limits of GLM for specification testing: Comment
-
Wooldridge, J. (1994) On the limits of GLM for specification testing: comment. Econometric Theory 10, 409-18.
-
(1994)
Econometric Theory
, vol.10
, pp. 409-418
-
-
Wooldridge, J.1
-
243
-
-
0001673027
-
Jackknife, bootstrap and other resampling methods in regression analysis (with discussion)
-
Wu, C. (1986) Jackknife, bootstrap and other resampling methods in regression analysis (with discussion). Annals of Statististics 14, 1261-350.
-
(1986)
Annals of Statististics
, vol.14
, pp. 1261-1350
-
-
Wu, C.1
|