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A general framework for predicting returns from multiple currency 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., 1998. "A general framework for predicting returns from multiple currency investments," Journal of Economic Dynamics and Control, Elsevier, vol. 22(7), pages 977-1000, May.
  • Handle: RePEc:eee:dyncon:v:22:y:1998:i:7:p:977-1000
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    References listed on IDEAS

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    1. Haliassos, Michael, 1994. "On Perfect Foresight Models of a Stochastic World," Economic Journal, Royal Economic Society, vol. 104(424), pages 477-491, May.
    2. 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.
    3. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 247-264.
    4. French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-226, May.
    5. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
    6. Haliassos, Michael & Bertaut, Carol C, 1995. "Why Do So Few Hold Stocks?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1110-1129, September.
    7. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comments: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 413-417, October.
    8. repec:bla:restud:v:65:y:1998:i:3:p:361-93 is not listed on IDEAS
    9. P. A. V. B. Swamy & Garry J. Schinasi, 1986. "Should fixed coefficients be reestimated every period for extrapolation?," International Finance Discussion Papers 287, Board of Governors of the Federal Reserve System (U.S.).
    10. Pratt, John W. & Schlaifer, Robert, 1988. "On the interpretation and observation of laws," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 23-52.
    11. 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.
    12. Dellas, Harris & Bang Yoo, Chin, 1991. "Reserve currency preferences of central banks: the case of Korea," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 406-419, September.
    13. P.A.V.B. Swamy & Roger K. Conway & Peter von zur Muehlen, 1984. "The foundations of econometrics: are there any?," Special Studies Papers 182, Board of Governors of the Federal Reserve System (U.S.).
    14. 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.
    15. Weiss, Andrew A, 1986. "ARCH and Bilinear Time Series Models: Comparison and Combination," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 59-70, January.
    16. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1.
    17. 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.
    18. 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.).
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    Cited by:

    1. Sophocles N. Brissimis & George Hondroyiannis & P. A. V. B. Swamy & George S. Tavlas, 2003. "Empirical Modelling of Money Demand in Periods of Structural Change: The Case of Greece," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 605-628, December.
    2. Hondroyiannis, George & Swamy, P. A. V. B. & Tavlas, George S., 2000. "Is the Japanese economy in a liquidity trap?," Economics Letters, Elsevier, vol. 66(1), pages 17-23, January.
    3. 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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