Advanced Search
MyIDEAS: Login

Citations for "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting"

by Martin D.D. Evans & Richard K. Lyons

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Gradojevic, Nikola, 2007. "Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(2), pages 557-574, February.
  2. Rod Cross & Victor Kozyakin, 2012. "Fact and Fiction in FX Arbitrage Processes," Working Papers, University of Strathclyde Business School, Department of Economics 1211, University of Strathclyde Business School, Department of Economics.
  3. Francis E. Warnock & Veronica Cacdac Warnock, 2006. "International Capital Flows and U.S. Interest Rates," NBER Working Papers 12560, National Bureau of Economic Research, Inc.
  4. Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," International Finance, EconWPA 0505004, EconWPA.
  5. Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers, Business School - Economics, University of Glasgow 2009_25, Business School - Economics, University of Glasgow, revised Feb 2010.
  6. Guo, Hui & Savickas, Robert, 2008. "Forecasting foreign exchange rates using idiosyncratic volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(7), pages 1322-1332, July.
  7. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(1), pages 82-108, February.
  8. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," WIFO Working Papers, WIFO 264, WIFO.
  9. Tobias Adrian & Erkko Etula & Hyun Song Shin, 2009. "Global liquidity and exchange rates," Staff Reports, Federal Reserve Bank of New York 361, Federal Reserve Bank of New York.
  10. : Roman Kozhan & Mark Salmon, 2010. "The information Content of a Limit Order Book:the Case of an FX Market," Working Papers, Warwick Business School, Finance Group wpn10-05, Warwick Business School, Finance Group.
  11. Q. Farooq Akram, & Dagfinn Rime & Lucio Sarno, 2005. "Arbitrage in the foreign exchange market: Turning on the microscope," Working Paper, Norges Bank 2005/12, Norges Bank.
  12. Gradojevic, Nikola, 2012. "Frequency domain analysis of foreign exchange order flows," Economics Letters, Elsevier, Elsevier, vol. 115(1), pages 73-76.
  13. Wu, Thomas, 2012. "Order flow in the South: Anatomy of the Brazilian FX market," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 23(3), pages 310-324.
  14. Moosa, Imad & Burns, Kelly, 2014. "The unbeatable random walk in exchange rate forecasting: Reality or myth?," Journal of Macroeconomics, Elsevier, Elsevier, vol. 40(C), pages 69-81.
  15. Nikola Gradojevic & Christopher J. Neely, 2008. "The dynamic interaction of order flows and the CAD/USD exchange rate," Working Papers, Federal Reserve Bank of St. Louis 2008-006, Federal Reserve Bank of St. Louis.
  16. Leon, Hyginus & Sarno, Lucio & Valente, Giorgio, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5527, C.E.P.R. Discussion Papers.
  17. Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2009. "Are oil price forecasters finally right? Regressive expectations toward more fundamental values of the oil price," Discussion Paper Series 1: Economic Studies 2009,32, Deutsche Bundesbank, Research Centre.
  18. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-351, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  19. F. Pancotto & G. Pignataro & D. Raggi, 2014. "Higher order beliefs and the dynamics of exchange rates," Working Papers wp957, Dipartimento Scienze Economiche, Universita' di Bologna.
  20. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines 'News' in Foreign Exchange Markets," Working Papers, Research Seminar in International Economics, University of Michigan 547, Research Seminar in International Economics, University of Michigan.
  21. Valseth, Siri, 2013. "Price discovery in government bond markets," Journal of Financial Markets, Elsevier, Elsevier, vol. 16(1), pages 127-151.
  22. Daniel MITCHELL RESTREPO, 2006. "Forecasting the Colombian Exchange Rate: Capital Adjustments and Politics vs. Traditional IRP, Trade Adjustments and Random Walk Frameworks," ARCHIVOS DE ECONOMÍA 011228, DEPARTAMENTO NACIONAL DE PLANEACIÓN.
  23. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports, Federal Reserve Bank of New York 262, Federal Reserve Bank of New York.
  24. Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256 Bank for International Settlements.
  25. Juan Pedro Jensen Perdomo & Fernando Balbino Botelho, 2007. "Messe-Rogoff Revisitados: Uma Análise Empírica Das Projeções Para A Taxa De Câmbio No Brasil," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Gr 038, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  26. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
  27. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, School of Economics and Management, University of Aarhus.
  28. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-357, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  29. Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper, Norges Bank 2007/02, Norges Bank.
  30. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers, Georgetown University, Department of Economics gueconwpa~05-05-04, Georgetown University, Department of Economics.
  31. Menzie D. Chinn & Michael J. Moore, 2008. "Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set," NBER Working Papers 14175, National Bureau of Economic Research, Inc.
  32. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2006. "Real-time price discovery in global stock, bond and foreign exchange markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 871, Board of Governors of the Federal Reserve System (U.S.).
  33. Gradojevic, Nikola, 2007. "The microstructure of the Canada/U.S. dollar exchange rate: A robustness test," Economics Letters, Elsevier, Elsevier, vol. 94(3), pages 426-432, March.
  34. Stephan Schulmeister, 2008. "Aggregate Trading Behaviour of Technical Models and the Yen-Dollar Exchange Rate 1976-2007," WIFO Working Papers, WIFO 324, WIFO.
  35. Xu, Juanyi, 2010. "Noise traders, exchange rate disconnect puzzle, and the Tobin tax," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(2), pages 336-357, March.
  36. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers, Georgetown University, Department of Economics gueconwpa~05-05-20, Georgetown University, Department of Economics.
  37. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers, Georgetown University, Department of Economics gueconwpa~05-05-03, Georgetown University, Department of Economics.
  38. Stefan Reitz & Jan C. Rülke & Georg Stadtmann, 2010. "Regressive Oil Price Expectations Toward More Fundamental Values of the Oil Price," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(4), pages 454-466, August.
  39. Giorgio Valente & H. L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity," IMF Working Papers 06/136, International Monetary Fund.
  40. Jeremy J. Nalewaik, 2008. "Lack of signal error (LoSE) and implications for OLS regression: measurement error for macro data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2008-15, Board of Governors of the Federal Reserve System (U.S.).
  41. Andreas S. Andreou & George A. Zombanakis, 2006. "Computational Intelligence in Exchange-Rate Forecasting," Working Papers, Bank of Greece 49, Bank of Greece.
  42. Yang, Jian & Su, Xiaojing & Kolari, James W., 2008. "Do Euro exchange rates follow a martingale? Some out-of-sample evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(5), pages 729-740, May.
  43. Aaron Tornell & Chunming Yuan, . "Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates," UMBC Economics Department Working Papers 09-116, UMBC Department of Economics, revised 01 Nov 2009.
  44. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
  45. Zsolt Darvas & Zoltán Schepp, 2007. "Kelet-közép európai devizaárfolyamok elõrejelzése határidõs árfolyamok segítségével," Working Papers, University of Pécs, Department of Economics and Regional Studies 2007/3, University of Pécs, Department of Economics and Regional Studies, revised Oct 2007.
  46. Tripe, David & Xia, Bingru & Roberts, Leigh, 2011. "Can implied forward mortgage rates predict future mortgage rates - recent New Zealand experience," Working Paper Series, Victoria University of Wellington, School of Economics and Finance 1986, Victoria University of Wellington, School of Economics and Finance.
  47. Takatoshi Ito & Yuko Hashimoto, 2006. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Working Papers 12682, National Bureau of Economic Research, Inc.
  48. Nikola Gradojević & Vladimir Djaković & Goran Andjelić, 2010. "Random Walk Theory and Exchange Rate Dynamics in Transition Economies," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(3), pages 303-320, September.
  49. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 3100-3124.
  50. Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper, Norges Bank 2013/12, Norges Bank.
  51. Nikola Gradojevic & Camillo Lento, 2012. "Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability," Working Paper Series, The Rimini Centre for Economic Analysis 31_12, The Rimini Centre for Economic Analysis.
  52. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank, Research Centre.
  53. Teneng, Dean, 2013. "Outperforming the naïve Random Walk forecast of foreign exchange daily closing prices using Variance Gamma and normal inverse Gaussian Levy processes," MPRA Paper 47851, University Library of Munich, Germany.
  54. Kentaro Iwatsubo & Ian W. Marsh, 2011. "Order Flows, Fundamentals and Exchange Rates," Discussion Papers 1120, Graduate School of Economics, Kobe University.