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Power transformation and forecasting the magnitude of exchange rate changes

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  • McKenzie, Michael D.
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    File URL: http://www.sciencedirect.com/science/article/B6V92-3VM0N5C-4/2/190f9dfd8ca3ee6b2107a57d73d71921
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    Bibliographic Info

    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 15 (1999)
    Issue (Month): 1 (February)
    Pages: 49-55

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    Handle: RePEc:eee:intfor:v:15:y:1999:i:1:p:49-55

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    Web page: http://www.elsevier.com/locate/ijforecast

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Michael McKenzie, 1997. "ARCH modelling of Australian bilateral exchange rate data," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 147-164.
    2. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    3. Holden, K & Peel, D A, 1990. "On Testing for Unbiasedness and Efficiency of Forecasts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 58(2), pages 120-27, June.
    4. Robert Brooks & Paul Michaelides, 1995. "Autocorrelations, returns and Australian financial futures," Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 323-326.
    5. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    6. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, October.
    7. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    8. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, October.
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    Cited by:
    1. Brooks, Robert D. & Faff, Robert W. & McKenzie, Michael D. & Mitchell, Heather, 2000. "A multi-country study of power ARCH models and national stock market returns," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 377-397, June.
    2. Ahmad Zubaidi Baharumshah & Liew Khim Sen & Lim Kian Ping, 2003. "Exchange Rates Forecasting Model: An Alternative Estimation Procedure," International Finance 0307005, EconWPA.
    3. Halova Wolfe, Marketa & Rosenman, Robert, 2014. "Bidirectional causality in oil and gas markets," Energy Economics, Elsevier, vol. 42(C), pages 325-331.

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