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Forecasting exchange rates: A robust regression approach

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Preminger, Arie
Franck, Raphael

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

Volume (Year): 23 (2007)
Issue (Month): 1 ()
Pages: 71-84
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Handle: RePEc:eee:intfor:v:23:y:2007:i:1:p:71-84

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  1. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March. [Downloadable!] (restricted)
  2. Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-65, October.
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  3. Franses, Philip Hans & Ghijsels, Hendrik, 1999. "Additive outliers, GARCH and forecasting volatility," International Journal of Forecasting, Elsevier, vol. 15(1), pages 1-9, February. [Downloadable!] (restricted)
  4. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
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  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. [Downloadable!] (restricted)
  6. Ledolter, Johannes, 1989. "The effect of additive outliers on the forecasts from ARIMA models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 231-240. [Downloadable!] (restricted)
  7. Zinde-Walsh, Victoria, 2002. "Asymptotic Theory For Some High Breakdown Point Estimators," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1172-1196, October. [Downloadable!]
  8. MacDonald, Ronald & Taylor, Mark P., 1994. "The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 276-290, June. [Downloadable!] (restricted)
  9. Sakata, Shinichi & White, Halbert, 2001. "S-estimation of nonlinear regression models with dependent and heterogeneous observations," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 5-72, July. [Downloadable!] (restricted)
  10. Hotta, Luiz Koodi, 1993. "The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models," International Journal of Forecasting, Elsevier, vol. 9(1), pages 85-93, April. [Downloadable!] (restricted)
  11. Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil, 1994. " On Cointegration and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 727-35, June. [Downloadable!] (restricted)
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  12. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July. [Downloadable!] (restricted)
  13. Engel, Charles, 1994. "Can the Markov switching model forecast exchange rates?," Journal of International Economics, Elsevier, vol. 36(1-2), pages 151-165, February. [Downloadable!] (restricted)
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  14. Phillips, Robert F., 1996. "Forecasting in the presence of large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 20(9-10), pages 1581-1608. [Downloadable!] (restricted)
  15. Balke, Nathan S & Fomby, Thomas B, 1994. "Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 181-200, April-Jun. [Downloadable!] (restricted)
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  16. Kuan, Chung-Ming & Liu, Tung, 1995. "Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(4), pages 347-64, Oct.-Dec.. [Downloadable!] (restricted)
  17. Altissimo, F. & Corradi, V., 2000. "Bounds for Inference with Nuisance Parameters Present only under the Alternative," Discussion Papers 00/13, University of Exeter, School of Business and Economics.
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  18. Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 217-35, April.
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  19. Wolff, Christian C. P., 1988. "Models of exchange rates : A comparison of forecasting results," International Journal of Forecasting, Elsevier, vol. 4(4), pages 605-607. [Downloadable!] (restricted)
  20. Sin, Chor-Yiu & White, Halbert, 1996. "Information criteria for selecting possibly misspecified parametric models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 207-225. [Downloadable!] (restricted)
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  21. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May. [Downloadable!] (restricted)
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  22. He, Xuming, 1991. "A local breakdown property of robust tests in linear regression," Journal of Multivariate Analysis, Elsevier, vol. 38(2), pages 294-305, August. [Downloadable!] (restricted)
  23. Qi, Min & Wu, Yangru, 2003. "Nonlinear prediction of exchange rates with monetary fundamentals," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 623-640, December. [Downloadable!] (restricted)
  24. LeBaron, Blake, 1992. "Forecast Improvements Using a Volatility Index," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S137-49, Suppl. De. [Downloadable!] (restricted)
  25. repec:att:wimass:19915 is not listed on IDEAS
  26. Granger, Clive W. J. & King, Maxwell L. & White, Halbert, 1995. "Comments on testing economic theories and the use of model selection criteria," Journal of Econometrics, Elsevier, vol. 67(1), pages 173-187, May. [Downloadable!] (restricted)
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  27. Nag, Ashok K & Mitra, Amit, 2002. "Forecasting Daily Foreign Exchange Rates Using Genetically Optimized Neural Networks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(7), pages 501-11, November.
  28. Chung-Ming Kuan & Halbert White, 1994. "Artificial neural networks: an econometric perspective," Econometric Reviews, Taylor and Francis Journals, vol. 13(1), pages 1-91. [Downloadable!] (restricted)
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  29. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
    Other versions:
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