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Modelling optimal strategies for the allocation of wealth in multicurrency investments

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  • Christou, Costas
  • Swamy, P. A. V. B.
  • Tavlas, George S.

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  • Christou, Costas & Swamy, P. A. V. B. & Tavlas, George S., 1996. "Modelling optimal strategies for the allocation of wealth in multicurrency investments," International Journal of Forecasting, Elsevier, vol. 12(4), pages 483-493, December.
    • Handle: RePEc:eee:intfor:v:12:y:1996:i:4:p:483-493
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    References listed on IDEAS

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    1. Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar..
    2. Swamy, P A V B & Tavlas, George S, 1995. "Random Coefficient Models: Theory and Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 9(2), pages 165-196, June.
    3. Swamy, P. A. V. B. & Von Zur Muehlen, Peter, 1988. "Further thoughts on testing for causality with econometric models," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 105-147.
    4. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    5. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    6. Swamy, P. A. V. B. & Kennickell, Arthur B. & von zur Muehlen, Peter, 1990. "Comparing forecasts from fixed and variable coefficient models: The case of money demand," International Journal of Forecasting, Elsevier, vol. 6(4), pages 469-477, December.
    7. P. A. V. B. Swamy & George S. Tavlas, 1990. "Is it possible to find an econometric law that works well in explanation and prediction? The case of Australian money demand," Finance and Economics Discussion Series 128, Board of Governors of the Federal Reserve System (U.S.).
    8. Schinasi, Garry J. & Swamy, P. A. V. B., 1989. "The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change," Journal of International Money and Finance, Elsevier, vol. 8(3), pages 375-390, September.
    9. Engle, Robert F, 1983. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 286-301, August.
    10. Friedman, Milton & Schwartz, Anna J, 1991. "Alternative Approaches to Analyzing Economic Data," American Economic Review, American Economic Association, vol. 81(1), pages 39-49, March.
    11. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    1. Hondroyiannis, George & Swamy, P. A. V. B. & Tavlas, George S., 2001. "Modelling the long-run demand for money in the United Kingdom: a random coefficient analysis," Economic Modelling, Elsevier, vol. 18(3), pages 475-501, August.

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