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Citations for "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability"

by Barbara Rossi

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  1. Philippe Bacchetta & Eric van Wincoop, 2011. "Modeling Exchange Rates with Incomplete Information," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 11.03, Université de Lausanne, Faculté des HEC, DEEP.
  2. Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2015. "Can Oil Prices Forecast Exchange Rates?," Working Papers 803, Barcelona Graduate School of Economics.
  3. Yu-Chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," NBER Working Papers 13901, National Bureau of Economic Research, Inc.
  4. Philippe Bacchetta & Eric van Wincoop & Toni Beutler, 2010. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 125-173 National Bureau of Economic Research, Inc.
  5. Chuluun, Tuugi & Eun, Cheol S. & Kiliç, Rehim, 2011. "Investment intensity of currencies and the random walk hypothesis: Cross-currency evidence," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 372-387, February.
  6. Jean-Guillaume Sahuc & Sanvi Avouyi-Dovi, 2007. "Comportement du banquier central en environnement incertain," Documents de recherche 07-05, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  7. Onur Ince, 2013. "Forecasting Exchange Rates Out-of-Sample with Panel Methods and Real-Time Data," Working Papers 13-04, Department of Economics, Appalachian State University.
  8. Marcel Fratzscher & Dagfinn Rime & Lucio Sarno & Gabriele Zinna, 2014. "The scapegoat theory of exchange rates: the first tests," Temi di discussione (Economic working papers) 991, Bank of Italy, Economic Research and International Relations Area.
  9. Kenneth Rogoff, 2009. "Exchange rates in the modern floating era: what do we really know?," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 145(1), pages 1-12, April.
  10. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 147(1), pages 11-40, April.
  11. 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.
  12. 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.
  13. Barbara Rossi & Atsushi Inoue, 2011. "Out-of-sample forecast tests robust to the choice of window size," Working Papers 11-31, Federal Reserve Bank of Philadelphia.
  14. Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Working Papers 272009, Hong Kong Institute for Monetary Research.
  15. 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.
  16. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
  17. 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.
  18. Javier Gómez Biscarri & Javier Hualde, 2014. "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers 1439, Department of Economics and Business, Universitat Pompeu Fabra.
  19. Jes�s Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
  20. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
  21. 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.
  22. Chen, Qianying, 2011. "Exchange rate dynamics, expectations, and monetary policy," Discussion Paper Series 1: Economic Studies 2011,18, Deutsche Bundesbank, Research Centre.
  23. Agnieszka Markiewicz, 2010. "Monetary Policy, Model Uncertainty and Exchange Rate Volatility," CESifo Working Paper Series 2949, CESifo Group Munich.
  24. Michele Ca’ Zorzi & Michal Rubaszek, 2012. "Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk," National Bank of Poland Working Papers 123, National Bank of Poland, Economic Institute.
  25. 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.
  26. Raffaella Giacomini & Barbara Rossi, 2010. "Forecast comparisons in unstable environments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 595-620.
  27. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  28. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
  29. Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," MPRA Paper 58956, University Library of Munich, Germany.
  30. Costa, Carlos E. da & Issler, João Victor & Matos, Paulo F., 2013. "A Note on the Forward- and the Equity-Premium Puzzles: Two Symptoms of the Same Illness?," Economics Working Papers (Ensaios Economicos da EPGE) 743, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  31. Stéphane GOUTTE & Benteng Zou, 2011. "Foreign exchange rates under Markov Regime switching model," CREA Discussion Paper Series 11-16, Center for Research in Economic Analysis, University of Luxembourg.
  32. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  33. Christophe Amat & Tomasz Michalski & Gilles Stoltz, 2014. "Forecasting exchange rates better than the random walk thanks to machine learning techniques," Working Papers halshs-01003914, HAL.
  34. Ramzi Issa & Robert Lafrance & John Murray, 2006. "The Turning Black Tide: Energy Prices and the Canadian Dollar," Working Papers 06-29, Bank of Canada.
  35. Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
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