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Citations for "An Empirical Assessment of Non-linearities in Models of Exchange Rate Determination"

by Meese, Richard A & Rose, Andrew K

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Cited by (explanations, 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.):
  1. James Ramsey, 1996. "If Nonlinear Models Cannot Forecast, What Use Are They?," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(2), pages 65-86. [Downloadable!] (restricted)
  2. Jon Vilasuso & Steve Cunningham, 1996. "Tests for Nonlinearity in EMS Exchange Rates," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(3), pages 155-168. [Downloadable!] (restricted)
  3. S. Brock Blomberg, 2001. ""Dumb And Dumber" Explanations For Exchange Rate Dynamics," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 187-216, November. [Downloadable!]
  4. Yin-Wong Cheung & Menzie D. Chinn, 1997. "Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models," NBER Working Papers 5943, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia-Pascual, 2003. "What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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  7. Carlo Altavilla & Paul De Grauwe, 2006. "Forecasting and Combining Competing Models of Exchange Rate Determination," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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  8. Yin-Wong Cheung & Menzie Chinn & Antonio Garcia Pascual, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Center for International Economics, Working Paper Series 1011, Center for International Economics, UC Santa Cruz. [Downloadable!]
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  9. Mustapha Baghli, 2004. "Modelling the FF/MM rate by threshold cointegration analysis," Applied Economics, Taylor and Francis Journals, vol. 36(6), pages 533-548, April. [Downloadable!] (restricted)
  10. John T. Barkoulas & Christopher F. Baum & Mustafa Caglayan & Atreya Chakraborty, 1998. "Persistent Dependence in Foreign Exchange Rates? A Reexamination," Boston College Working Papers in Economics 377, Boston College Department of Economics, revised 21 Apr 2000. [Downloadable!]
  11. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. Gianna Boero & Emanuela Marrocu, 1999. "Modelli non lineari per i tassi di cambio: un confronto previsivo," Working Paper CRENoS 199914, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  13. W. H"Ardle & A. Tsybakov & L. Yang, . "Nonparametric Vector Autoregression," Sonderforschungsbereich 373 1996-61, Humboldt Universitaet Berlin.
  14. Yin-Wong Cheung & Ulf G. Erlandsson, 2004. "Exchange Rates and Markov Switching Dynamics," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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  15. Bruce Mizrach, 1996. "Mean Reversion in EMS Exchange Rates," Departmental Working Papers 199525, Rutgers University, Department of Economics. [Downloadable!]
  16. Gianna Boero & Emanuela Marrocu, 2001. "Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns," Working Paper CRENoS 200110, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  17. Cornelis A. Los & Jeyanthi Karuppiah, 2004. "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance 0409037, EconWPA. [Downloadable!]
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  18. Shankar, Rashmi, 2005. "Insurance and liquidity : panel evidence," Policy Research Working Paper Series 3648, The World Bank. [Downloadable!]
  19. David Peel & Alan Speight, 1994. "Testing for non-linear dependence in inter-war exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(2), pages 391-417, June. [Downloadable!] (restricted)
  20. Consuelo Gámez Amián & José L. Torres, 2004. "A Non-parametric reassessment of target zone nonlinearities: The Spanish Peseta/Deutsche Mark exchange rate," Economic Working Papers at Centro de Estudios Andaluces E2004/73, Centro de Estudios Andaluces. [Downloadable!]
  21. Carlo Altavilla & Paul De Grauwe, 2005. "Non-Linearities in the Relation between the Exchange Rate and its Fundamentals," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
  22. Marcelo Cunha Medeiros & Álvaro Veiga & Carlos Eduardo Pedreira, 2000. "Modelling exchange rates: smooth transitions, neural networks, and linear models," Textos para discussão 432, Department of Economics PUC-Rio (Brazil). [Downloadable!]
  23. Kenneth W Clements & Yihui Lan & John Roberts, 2007. "Exchange-Rate Economics for the Resources Sector," Economics Discussion / Working Papers 07-13, The University of Western Australia, Department of Economics. [Downloadable!]
  24. Robert P. Flood & Andrew K. Rose & Donald J. Mathieson, 1990. "An Empirical Exploration of Exchange Rate Target-Zones," NBER Working Papers 3543, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  25. Gianna Boero & Emanuela Marrocu, 2000. "La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza," Working Paper CRENoS 200014, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  26. José Torres, 2007. "A non-parametric analysis of ERM exchange rate fundamentals," Empirical Economics, Springer, vol. 32(1), pages 67-84, April. [Downloadable!] (restricted)
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  27. Ahmad Baharumshah & Venus Liew, 2006. "Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models," Open Economies Review, Springer, vol. 17(2), pages 235-251, April. [Downloadable!] (restricted)
  28. Frömmel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2002. "Markov Switching Regimes in a Monetary Exchange Rate Model," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-266, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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  29. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889. [Downloadable!]
  30. Ahmad Zubaidi Baharumshah & Liew Khim Sen & Lim Kian Ping, 2003. "Exchange Rates Forecasting Model: An Alternative Estimation Procedure," International Finance 0307005, EconWPA. [Downloadable!]
  31. A. Kanas, 2003. "Non-linear cointegration between stock prices and dividends," Applied Economics Letters, Taylor and Francis Journals, vol. 10(7), pages 401-405, May. [Downloadable!] (restricted)
  32. Jan Beran & Dirk Ocker, 1999. "SEMIFAR Forecasts, with Applications to Foreign Exchange Rates," CoFE Discussion Paper 99-13, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  33. L. Yang & W. H"Ardle, . "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," Sonderforschungsbereich 373 1996-62, Humboldt Universitaet Berlin.
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  34. Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society. [Downloadable!]
  35. Shankar, Rashmi, 2002. "Distinguishing between observationally equivalent theories of crises," Policy Research Working Paper Series 2926, The World Bank. [Downloadable!]
  36. Kenneth D. West & Hali J. Edison & Dongchul Cho, 1992. "A Utility Based Comparison of Some Models of Exchange Rate Volatility," NBER Technical Working Papers 0128, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  37. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  38. W A Razzak & Thomas Grennes, 1998. "The long-run nominal exchange rate: specification and estimation issues," Reserve Bank of New Zealand Discussion Paper Series G98/5, Reserve Bank of New Zealand. [Downloadable!]
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This page was last updated on 2008-11-21.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.