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Citations for "Why is it so difficult to beat the random walk forecast of exchange rates?"

by Kilian, Lutz & Taylor, Mark P.

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  1. Juan David Durán-Vanegas, 2015. "Do foreign exchange interventions work as coordinating signals in Colombia?," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 33(78), pages 169-175, December.
  2. Luisa Corrado & Marcus H. Miller & Lei Zhang, 2003. "Exchange Monitoring Bands: Theory and Policy," CEIS Research Paper 8, Tor Vergata University, CEIS.
  3. Christopoulos, Dimitris & León-Ledesma, Miguel A., 2010. "Current account sustainability in the US: What did we really know about it?," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 442-459, April.
  4. Roche, M.J. & Moore. M.J., 2002. "Volatile and persistent real exchange rates without the contrivance of sticky prices," Economics, Finance and Accounting Department Working Paper Series n1160402, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  5. Ivan Paya & David Peel, 2005. "The process followed by PPP data. On the properties of linearity tests," Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2515-2522.
  6. repec:rwi:repape:0134 is not listed on IDEAS
  7. Rangan Gupta & Mampho P. Modise, 2012. "Valuation Ratios and Stock Return Predictability in South Africa: Is It There?," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(1), pages 70-82, January.
  8. Jorge Selaive & Vicente Tuesta, 2004. "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," International Finance 0404014, EconWPA.
  9. Stefan Reitz & Frank Westerhoff, 2007. "Commodity price cycles and heterogeneous speculators: a STAR–GARCH model," Empirical Economics, Springer, vol. 33(2), pages 231-244, September.
  10. Lahtinen, Markus & Mäki-Fränt, Petri, 2007. "The Exchange Rate Targeting of Central Banks Revised: The Role of Long-term Interest Rates," Economics Discussion Papers 2007-28, Kiel Institute for the World Economy (IfW).
  11. Taylor, Mark P, 2003. "Is Official Exchange Rate Intervention Effective?," CEPR Discussion Papers 3758, C.E.P.R. Discussion Papers.
  12. Hau, Harald, 2000. "Real Exchange Rate Volatility and Economic Openness: Theory and Evidence," CEPR Discussion Papers 2356, C.E.P.R. Discussion Papers.
  13. Leitner, Johannes & Schmidt, Robert & Bofinger, Peter, 2003. "Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices," W.E.P. - Würzburg Economic Papers 39, University of Würzburg, Chair for Monetary Policy and International Economics.
  14. P. de Grauwe & I. Vansteenkiste, 2003. "Exchange Rates and Fundamentals a Non-Linear Relationship?," DNB Staff Reports (discontinued) 78, Netherlands Central Bank.
  15. Òscar Jordà & Alan M. Taylor, 2011. "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers 17150, National Bureau of Economic Research, Inc.
  16. Dimitris, Christopoulos & Miguel, Leon-Ledesma, 2009. "Smooth Breaks and Nonlinear Mean Reversion: Post-Bretton Woods Real Exchange Rates," MPRA Paper 22553, University Library of Munich, Germany.
  17. Chang, Tsangyao & Tzeng, Han-Wen, 2011. "Long-run purchasing power parity with asymmetric adjustment: Further evidence from nine transition countries," Economic Modelling, Elsevier, vol. 28(3), pages 1383-1391, May.
  18. MacDonald, Ronald & Menkhoff, Lukas & Rebitzky, Rafael R., 2009. "Exchange rate forecasters’ performance: evidence of skill?," SIRE Discussion Papers 2009-10, Scottish Institute for Research in Economics (SIRE).
  19. repec:spo:wpecon:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  20. Li, Wei-Xuan & Chen, Clara Chia-Sheng & French, Joseph J., 2015. "Toward an early warning system of financial crises: What can index futures and options tell us?," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 87-99.
  21. Xiong, Tao & Bao, Yukun & Hu, Zhongyi, 2013. "Beyond one-step-ahead forecasting: Evaluation of alternative multi-step-ahead forecasting models for crude oil prices," Energy Economics, Elsevier, vol. 40(C), pages 405-415.
  22. Sager, Michael & Taylor, Mark P., 2014. "Generating currency trading rules from the term structure of forward foreign exchange premia," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 230-250.
  23. Meng, Xiangcai & Huang, Chia-Hsing, 2016. "Nonlinear models for the sources of real effective exchange rate fluctuations: Evidence from the Republic of Korea," Japan and the World Economy, Elsevier, vol. 40(C), pages 21-30.
  24. Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2011. "Can Oil Prices Forecast Exchange Rates?," Working Papers 11-05, Duke University, Department of Economics.
  25. Michael W. McCracken & Todd E. Clark, 2003. "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence," Computing in Economics and Finance 2003 183, Society for Computational Economics.
  26. Yang-Cheng Lu & Chang, Tsangyao & Chin-Ping Yu, 2011. "Long-Run Purchasing Power Parity with Asymmetric Adjustment: Evidence from Mainland China and Taiwan," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 59-70, September.
  27. Reitz, Stefan & Taylor, Mark P., 2012. "FX intervention in the yen-US dollar market: A coordination channel perspective," Kiel Working Papers 1765, Kiel Institute for the World Economy (IfW).
  28. 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.
  29. Kurmas Akdogan & Yunus Aksoy, 2007. "Exchange Rates and Fundamentals : Is there a Role for Nonlinearities in Real Time?," Working Papers 0703, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  30. Josh R. Stillwagon, 2014. "Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation," Working Papers 1405, Trinity College, Department of Economics.
  31. Karamé, Frédéric & Patureau, Lise & Sopraseuth, Thepthida, 2008. "Limited participation and exchange rate dynamics: Does theory meet the data?," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1041-1087, April.
  32. Mende, Alexander & Menkhoff, Lukas, 2006. "Profits and speculation in intra-day foreign exchange trading," Journal of Financial Markets, Elsevier, vol. 9(3), pages 223-245, August.
  33. Carlo Altavilla & Paul De Grauwe, 2006. "Forecasting and Combining Competing Models of Exchange rate Determination," Discussion Papers 5_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  34. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City.
  35. Nikola Gradojević & Vladimir Djaković & Goran Andjelić, 2010. "Random Walk Theory and Exchange Rate Dynamics in Transition Economies," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(3), pages 303-320, September.
  36. Kleopatra Nikolaou, 2007. "The behaviour of the real exchange rate: Evidence from regression quantiles," Money Macro and Finance (MMF) Research Group Conference 2006 46, Money Macro and Finance Research Group.
  37. Reitz, Stefan & Slopek, Ulf Dieter, 2008. "Nonlinear oil price dynamics: a tale of heterogeneous speculators?," Discussion Paper Series 1: Economic Studies 2008,10, Deutsche Bundesbank, Research Centre.
  38. Nelson Mark & Young-Kyu Moh, 2003. "Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market," NBER Working Papers 9948, National Bureau of Economic Research, Inc.
  39. Valentina Corradi & Norman R. Swanson, 2007. "Nonparametric Bootstrap Procedures For Predictive Inference Based On Recursive Estimation Schemes," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 67-109, 02.
  40. Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005. "Markov switching regimes in a monetary exchange rate model," Economic Modelling, Elsevier, vol. 22(3), pages 485-502, May.
  41. repec:rwi:repape:0272 is not listed on IDEAS
  42. Paul De Grauwe & Marianna Grimaldi, 2005. "The Exchange Rate and its Fundamentals in a Complex World," Review of International Economics, Wiley Blackwell, vol. 13(3), pages 549-575, 08.
  43. Westerhoff Frank H. & Reitz Stefan, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-15, December.
  44. Beckmann, Joscha, 2013. "Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 176-190.
  45. Yamin Ahmad & William D. Craighead, 2011. "Temporal Aggregation and Purchasing Power Parity Persistence," Wesleyan Economics Working Papers 2011-001, Wesleyan University, Department of Economics.
  46. Roman Horváth, 2005. "Real Equilibrium Exchange Rate Estimates: To What Extent Are They Applicable for Setting the Central Parity?," Working Papers IES 75, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2005.
  47. Timo WOLLMERSHAEUSER, "undated". "Should Central Banks React to Exchange Rate Movements? An Analysis of the Robustness of Simple Policy Rules under Exchange Rate Uncertainty," EcoMod2004 330600161, EcoMod.
  48. Karras, Georgios & Lee, Jin Man & Stokes, Houston, 2005. "Sources of exchange-rate volatility: Impulses or propagation?," International Review of Economics & Finance, Elsevier, vol. 14(2), pages 213-226.
  49. Paul Hubert, 2010. "Monetary Policy, Imperfect Information and the Expectations Channel," Sciences Po publications info:hdl:2441/f4rshpf3v1u, Sciences Po.
  50. Georg Strasser, 2011. "The Efficiency of the Global Markets for Final Goods and Productive Capabilities," 2011 Meeting Papers 576, Society for Economic Dynamics.
  51. Chien-Chung Nieh & Yu-Shan Wang, 2005. "ARDL Approach to the Exchange Rate Overshooting in Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 25(1), pages 55-71, August.
  52. Daniel Buncic, 2012. "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
  53. Inoue, Atsushi & Kilian, Lutz, 2002. "In-sample or out-of-sample tests of predictability: which one should we use?," Working Paper Series 0195, European Central Bank.
  54. repec:kie:kieliw:1765 is not listed on IDEAS
  55. Arize, Augustine C., 2011. "Purchasing power parity in LDCs: An empirical investigation," Global Finance Journal, Elsevier, vol. 22(1), pages 56-71.
  56. Shintani, Mototsugu & Terada-Hagiwara, Akiko & Yabu, Tomoyoshi, 2013. "Exchange rate pass-through and inflation: A nonlinear time series analysis," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 512-527.
  57. Kurmaş Akdoğan, 2015. "Unemployment Hysteresis and Structural Change in Europe," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey 266, Ekonomik Yaklasim Association.
  58. Camarero, Mariam & Ordóñez, Javier, 2012. "Nonlinear adjustment in the real dollar–euro exchange rate: The role of the productivity differential as a fundamental," Economic Modelling, Elsevier, vol. 29(2), pages 444-449.
  59. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis.
  60. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
  61. Carlo Altavilla, 2006. "The (Un-) Stable Relationship between The Exchange rate and its Fundamentals," Discussion Papers 6_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  62. Liew, Venus Khim-Sen & Lee, Hock-Ann & Lim, Kian-Ping, 2005. "Purchasing power parity in Asian economies: further evidence from rank tests for cointegration," MPRA Paper 15530, University Library of Munich, Germany.
  63. Faust, Jon & Rogers, John H. & H. Wright, Jonathan, 2003. "Exchange rate forecasting: the errors we've really made," Journal of International Economics, Elsevier, vol. 60(1), pages 35-59, May.
  64. Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers 779, Board of Governors of the Federal Reserve System (U.S.).
  65. Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2009. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," CIRANO Working Papers 2009s-18, CIRANO.
  66. Francis X. Diebold, 2012. "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," PIER Working Paper Archive 12-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  67. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2013. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," CEPR Discussion Papers 9313, C.E.P.R. Discussion Papers.
  68. Strohsal, Till & Winkelmann, Lars, 2015. "Assessing the anchoring of inflation expectations," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 33-48.
  69. Christian Pierdzioch & Georg Stadtmann & Dirk Schäfer, 2011. "Fly with the Eagles or Scratch with the Chickens? – Zum Herdenverhalten von Wechselkursprognostikern," Credit and Capital Markets, Credit and Capital Markets, vol. 44(4), pages 465-490.
  70. Dieci, Roberto & Westerhoff, Frank, 2016. "Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear economic dynamics approach," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 21-44.
  71. Sarno, Lucio & Daniel l Thornton & Giorgio Valente, 2003. "Federal Funds Rate Prediction," Royal Economic Society Annual Conference 2003 183, Royal Economic Society.
  72. Aidil Rizal SHAHRIN, 2015. "Has Nonlinearity Resolved The A Nomaly Of Unit Root Behaviour In Forward Discount ? New Empirical Evidence," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 70-80, March.
  73. Clark, Todd E. & McCracken, Michael W., 2015. "Nested forecast model comparisons: A new approach to testing equal accuracy," Journal of Econometrics, Elsevier, vol. 186(1), pages 160-177.
  74. Chunming Yuan, 2008. "The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics," UMBC Economics Department Working Papers 09-114, UMBC Department of Economics, revised 01 Nov 2009.
  75. Li, Dandan & Ghoshray, Atanu & Morley, Bruce, 2013. "An empirical study of nonlinear adjustment in the UIP model using a smooth transition regression model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 109-120.
  76. Marmer, Vadim, 2008. "Nonlinearity, nonstationarity, and spurious forecasts," Journal of Econometrics, Elsevier, vol. 142(1), pages 1-27, January.
  77. Travis Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 357-387 National Bureau of Economic Research, Inc.
  78. Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena, 2013. "Volatility and persistence of simulated DSGE real exchange rates," Economics Letters, Elsevier, vol. 119(1), pages 38-41.
  79. Alan M. Taylor & Mark Taylor, 2004. "The Purchasing Power Parity Debate," Working Papers 46, University of California, Davis, Department of Economics.
  80. Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany.
  81. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
  82. Michael Curran & Adnan Velic, 2017. "Real Exchange Rate Persistence and Country Characteristics," Trinity Economics Papers tep0917, Trinity College Dublin, Department of Economics.
  83. Axel Grossmann & Marc Simpson & Teofilo Ozuna, 2014. "Investigating the PPP hypothesis using constructed U.S. dollar equilibrium exchange rate misalignments over the post-bretton woods period," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(2), pages 235-268, April.
  84. Jaehun Chung & Yongmiao Hong, 2013. "Model-Free Evaluation of Directional Predictability in Foreign Exchange," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  85. Paul Hubert, 2015. "Do Central Bank Forecasts Influence Private Agents? Forecasting Performance versus Signals," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(4), pages 771-789, 06.
  86. Wang, Jian & Wu, Jason J., 2008. "The Taylor rule and forecast intervals for exchange rates," Globalization and Monetary Policy Institute Working Paper 22, Federal Reserve Bank of Dallas.
  87. repec:zbw:rwirep:0431 is not listed on IDEAS
  88. Yin-Wong Cheung & Antonio Garcia Pascual & Menzie David Chinn, 2004. "Empirical Exchange Rate Models of the Nineties; Are Any Fit to Survive?," IMF Working Papers 04/73, International Monetary Fund.
  89. Tsangyao Chang & Chia-hao Lee & Guochen Pan, 2012. "Purchasing Power Parity in African Countries: Further Evidence based on the ADL Test for Threshold Cointegration," Economics Bulletin, AccessEcon, vol. 32(1), pages 220-228.
  90. Cheolbeom Park & Sookyung Park, 2013. "Exchange Rate Predictability and a Monetary Model with Time-varying Cointegration Coefficients," Discussion Paper Series 1302, Institute of Economic Research, Korea University.
  91. Joseph V. Balagtas & Matthew T. Holt, 2009. "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 91(1), pages 87-105.
  92. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, Elsevier.
  93. Nikolaos Mitianoudis & Theologos Dergiades, 2016. "Stock Prices Predictability at Long-horizons: Two Tales from the Time-Frequency Domain," Discussion Paper Series 2016_04, Department of Economics, University of Macedonia, revised Dec 2016.
  94. Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
  95. Audretsch, David B. & Stadtmann, Georg, 2005. "Biases in FX-Forecasts: Evidence from Panel Data," Research Notes 19, Deutsche Bank Research.
  96. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
  97. David A. Peel & Ivan Paya, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668.
  98. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  99. Efthymios Pavlidis & Nicos Pavlidis, 2012. "Dynamic Estimation of Trade Costs from Real Exchange Rates," Working Papers 21883757, Lancaster University Management School, Economics Department.
  100. He, Huizhen & Chou, Ming Che & Chang, Tsangyao, 2014. "Purchasing power parity for 15 Latin American countries: Panel SURKSS test with a Fourier function," Economic Modelling, Elsevier, vol. 36(C), pages 37-43.
  101. Tsangyao Chang & Wen-Chi Liu, 2010. "Long-run purchasing power parity with asymmetric adjustment: evidence from nine major oil-exporting countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 263-274.
  102. Kaltenbrunner, Annina & Nissanke, Machiko, 2009. "The Case for an Intermediate Exchange Rate Regime with Endogenizing Market Structures and Capital Mobility," WIDER Working Paper Series 029, World Institute for Development Economic Research (UNU-WIDER).
  103. Carlo Altavilla & Paul De Grauwe, 2010. "Non-linearities in the relation between the exchange rate and its fundamentals," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 1-21.
  104. PREMINGER, Arie & FRANCK, Raphael, 2005. "Forecasting exchange rates: a robust regression approach," CORE Discussion Papers 2005025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  105. Pippenger, John, 2004. "The Modern Theory of the LOP and PPP: Some Implications," University of California at Santa Barbara, Economics Working Paper Series qt60z886n7, Department of Economics, UC Santa Barbara.
  106. Kenneth Rogoff, 2009. "Exchange rates in the modern floating era: what do we really know?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(1), pages 1-12, April.
  107. Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Helene Rey, 2003. "PPP Strikes Back: Aggregation and the Real Exchange Rate," IEHAS Discussion Papers 0307, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
  108. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "Cointegration, structural breaks and monetary fundamentals of the Dollar/Yen Exchange," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(4), pages 397-412, November.
  109. Miguel Carvalho & Paulo Júlio, 2012. "Digging out the PPP hypothesis: an integrated empirical coverage," Empirical Economics, Springer, vol. 42(3), pages 713-744, June.
  110. Omer, Muhammad & de Haan, Jakob & Scholtens, Bert, 2013. "Does Uncovered Interest rate Parity Hold After All?," MPRA Paper 47572, University Library of Munich, Germany.
  111. Paya, Ivan & Peel, David A., 2006. "On the speed of adjustment in ESTAR models when allowance is made for bias in estimation," Economics Letters, Elsevier, vol. 90(2), pages 272-277, February.
  112. Diks, C.G.H. & Weide, R. van der, 2003. "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," CeNDEF Working Papers 03-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  113. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
  114. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
  115. Engel, Charles & West, Kenneth D., 2003. "Exchange rates and fundamentals," Working Paper Series 0248, European Central Bank.
  116. Frédérique Bec & Mélika Ben Salem & Ronald MacDonald, 2006. "Real exchange rates and real interest rates : a nonlinear perspective," Recherches économiques de Louvain, De Boeck Université, vol. 72(2), pages 177-194.
  117. Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics.
  118. Richard T. Baillie & Rehim Kilic, 2005. "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?," Working Papers 543, Queen Mary University of London, School of Economics and Finance.
  119. Juvenal Luciana & Taylor Mark P., 2008. "Threshold Adjustment of Deviations from the Law of One Price," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-46, September.
  120. Dietmar Janetzko, 2014. "Predictive modeling in turbulent times – What Twitter reveals about the EUR/USD exchange rate," Netnomics, Springer, vol. 15(2), pages 69-106, September.
  121. Oscar Jorda, 2010. "Carry Trade," Working Papers 1019, University of California, Davis, Department of Economics.
  122. Wu, Jyh-Lin & Hu, Yu-Hau, 2009. "New evidence on nominal exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 1045-1063, October.
  123. Frédérique Bec & Songlin Zeng, 2012. "Are Southeast Asian Real Exchange Rates Mean Reverting?," THEMA Working Papers 2012-25, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  124. Wu, Jyh-Lin & Lee, Hsiu-Yun, 2009. "A revisit to the non-linear mean reversion of real exchange rates: Evidence from a series-specific non-linear panel unit-root test," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 591-601, December.
  125. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
  126. 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.
  127. Chua, Choong Tze & Lai, Sandy & Wu, Yangru, 2008. "Effective fair pricing of international mutual funds," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2307-2324, November.
  128. Chang, Tsangyao & Lee, Chia-Hao & Chou, Pei-I & Tang, Dai-Piao, 2011. "Revisiting long-run purchasing power parity with asymmetric adjustment for G-7 countries," Japan and the World Economy, Elsevier, vol. 23(4), pages 259-264.
  129. Yamin Ahmad & Stuart Glosser, 2011. "Searching for nonlinearities in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 43(15), pages 1829-1845.
  130. Yamin Ahmad, 2007. "The Effects of Small Sample Bias in Threshold Autoregressive Models," Working Papers 07-01, UW-Whitewater, Department of Economics, revised Jun 2007.
  131. Dangl, Thomas & Halling, Michael, 2012. "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, vol. 106(1), pages 157-181.
  132. Juselius, Mikael & Kim, Moshe & Ringbom, Staffan, 2009. "Do markup dynamics reflect fundamentals or changes in conduct?," Research Discussion Papers 12/2009, Bank of Finland.
  133. Reus, Lorenzo & Mulvey, John M., 2016. "Dynamic allocations for currency futures under switching regimes signals," European Journal of Operational Research, Elsevier, vol. 253(1), pages 85-93.
  134. Chang, Tsangyao & Chiu, Chi Chen & Tzeng, Han Wen, 2011. "Revisiting Purchasing Power Parity for Nine Transition Countries Using the Rank Test for Nonlinear Cointegration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 19-30, June.
  135. Gawon Yoon, 2010. "Nonlinearity in real exchange rates: an approach with disaggregated data and a new linearity test," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1125-1132.
  136. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach," Discussion Papers of DIW Berlin 944, DIW Berlin, German Institute for Economic Research.
  137. Carlos Felipe Lopez Suarez & Jose Antonio Rodriguez Lopez, 2008. "Nonlinear Exchange Rate Predictability," Working Papers 080911, University of California-Irvine, Department of Economics, revised Sep 2010.
  138. Ahmad, Ahmad Hassan & Aworinde, Olalekan Bashir, 2016. "The role of structural breaks, nonlinearity and asymmetric adjustments in African bilateral real exchange rates," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 144-159.
  139. Mark, Nelson C. & Moh, Young-Kyu, 2007. "Official interventions and the forward premium anomaly," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 499-522, September.
  140. López Villavicencio, Antonia, 2008. "Nonlinearities or outliers in real exchange rates?," Economic Modelling, Elsevier, vol. 25(4), pages 714-730, July.
  141. Sophie van Huellen, 2013. "Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum," Working Papers 185, Department of Economics, SOAS, University of London, UK.
  142. Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun, 2015. "Foreign exchange predictability during the financial crisis: implications for carry trade profitability," FRB Atlanta Working Paper 2015-6, Federal Reserve Bank of Atlanta.
  143. Zsolt Darvas & Zoltán Schepp, 2007. "Forecasting Exchange Rates of Major Currencies with Long Maturity Forward Rates," Working Papers 0705, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
  144. Wagner Piazza Gaglianone & Gabriel Jaqueline Terra Moura Marins, 2016. "Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil," Working Papers Series 446, Central Bank of Brazil, Research Department.
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