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Citations for "Testing Long-Horizon Predictive Ability With High Persistence, And The Meese-Rogoff Puzzle"

by Barbara Rossi

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  1. Ryan Greenaway-McGrevy & Nelson C. Mark & Donggyu Sul & Jyh-Lin Wu, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 212012, Hong Kong Institute for Monetary Research.
  2. Fratzscher, Marcel & Sarno, Lucio & Zinna, Gabriele, 2012. "The scapegoat theory of exchange rates: the first tests," Working Paper Series 1418, European Central Bank.
  3. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
  4. Felício, Wilson Rafael de Oliveira & Rossi, José Luiz Júnior, 2013. "Common factors and the exchange rate: results from the Brazilian case," Insper Working Papers wpe_318, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  5. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, MIT Press, vol. 125(3), pages 1145-1194, August.
  6. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2011. "Individual exchange rate forecasts and expected fundamentals," ZEW Discussion Papers 11-062, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  7. Della Corte, Pasquale & Sarno, Lucio & Sestieri, Giulia, 2010. "The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?," CEPR Discussion Papers 8045, C.E.P.R. Discussion Papers.
  8. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers.
  9. Jin Lee, 2005. "Long horizon regressions with moderate deviations from a unit root," Economics Bulletin, AccessEcon, vol. 3(52), pages 1-11.
  10. André Mollick & Tibebe Assefa, 2013. "Carry-trades on the yen and the Swiss franc: are they different?," Journal of Economics and Finance, Springer, vol. 37(3), pages 402-423, July.
  11. Rossi, José Luiz Júnior, 2014. "The Usefulness of Financial Variables in Predicting Exchange Rate Movements," Insper Working Papers wpe_332, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  12. Ince, Onur, 2014. "Forecasting exchange rates out-of-sample with panel methods and real-time data," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 1-18.
  13. Valerie Cerra & Sweta Chaman Saxena, 2008. "The Monetary Model Strikes Back; Evidence From the World," IMF Working Papers 08/73, International Monetary Fund.
  14. Raffaella Giacomini & Barbara Rossi, 2010. "Forecast comparisons in unstable environments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 595-620.
  15. Todd E. Clark & Michael W. McCracken, 2010. "Testing for unconditional predictive ability," Working Papers 2010-031, Federal Reserve Bank of St. Louis.
  16. Dirk G. Baur & Joscha Beckmann & Robert Czudaj, 2014. "Gold Price Forecasts in a Dynamic Model Averaging Framework – Have the Determinants Changed Over Time?," Ruhr Economic Papers 0506, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  17. Travis J. Berge, 2014. "Forecasting Disconnected Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 713-735, 08.
  18. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2011. "Can Oil Prices Forecast Exchange Rates?," CEPR Discussion Papers 8635, C.E.P.R. Discussion Papers.
  19. Jian Wang & Jason J. Wu, 2009. "The Taylor rule and forecast intervals for exchange rates," International Finance Discussion Papers 963, Board of Governors of the Federal Reserve System (U.S.).
  20. Molodtsova, Tanya & Papell, David H., 2009. "Out-of-sample exchange rate predictability with Taylor rule fundamentals," Journal of International Economics, Elsevier, vol. 77(2), pages 167-180, April.
  21. Todd E. Clark & Michael W. McCracken, 2007. "Tests of equal predictive ability with real-time data," Research Working Paper RWP 07-06, Federal Reserve Bank of Kansas City.
  22. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
  23. Kenneth Rogoff, 2008. "Comment on "Exchange Rate Models Are Not As Bad As You Think"," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 443-452 National Bureau of Economic Research, Inc.
  24. Charles Engel & Nelson C. Mark & Kenneth D. West, 2007. "Exchange Rate Models Are Not as Bad as You Think," NBER Working Papers 13318, National Bureau of Economic Research, Inc.
  25. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  26. Francisco Javier Eransus & Alfonso Novales Cinca, 2014. "Parameter Estimation Error in Tests of Predictive Performance under Discrete Loss Functions," Documentos de Trabajo del ICAE 2014-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  27. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 554-579, November.
  28. Chevillon, Guillaume, 2007. "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers DR 07021, ESSEC Research Center, ESSEC Business School.
  29. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
  30. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
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