Predictability and Specification in Models of Exchange Rate Determination

[1]  Michael J. Moore,et al.  Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set , 2011 .

[2]  Ruxandra Prodan,et al.  Markov Switching and Exchange Rate Predictability , 2011 .

[3]  David H. Papell,et al.  Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals , 2008 .

[4]  David H. Papell,et al.  Taylor Rules with Real-Time Data: A Tale of Two Countries and One Exchange Rate , 2008 .

[5]  Jeffrey S. Racine,et al.  Nonparametric Econometrics: The np Package , 2008 .

[6]  Kenneth S. Rogoff,et al.  The Continuing Puzzle of Short Horizon Exchange Rate Forecasting , 2008 .

[7]  H. White,et al.  A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE , 2008, Econometric Theory.

[8]  Michael W. McCracken,et al.  Inference about predictive ability , 2007 .

[9]  Kenneth S. Rogoff,et al.  Exchange Rate Models Are Not as Bad as You Think [with Comments and Discussion] , 2007, NBER Macroeconomics Annual.

[10]  Jeffrey S. Racine,et al.  A Consistent Model Specification Test with Mixed Discrete and Continuous Data , 2006 .

[11]  Norman R. Swanson,et al.  Predictive Density Evaluation , 2005 .

[12]  Jonathan H. Wright,et al.  Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data , 2005 .

[13]  E. Maasoumi,et al.  A Dependence Metric for Possibly Nonlinear Processes , 2004 .

[14]  Todd E. Clark,et al.  Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis , 2004 .

[15]  C. Engel,et al.  Exchange Rates and Fundamentals , 2003, Journal of Political Economy.

[16]  Yin-Wong Cheung,et al.  Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? , 2002 .

[17]  Jeffrey S. Racine,et al.  Entropy and predictability of stock market returns , 2002 .

[18]  Jonathan H. Wright,et al.  Exchange Rate Forecasting: The Errors We've Really Made , 2001 .

[19]  Jeremy Berkowitz.  Testing Density Forecasts, With Applications to Risk Management , 2001 .

[20]  H. White,et al.  A Reality Check for Data Snooping , 2000 .

[21]  Michael P. Clements,et al.  Evaluating The Forecast of Densities of Linear and Non-Linear Models: Applications to Output Growth and Unemployment , 2000 .

[22]  Todd E. Clark,et al.  Tests of Equal Forecast Accuracy and Encompassing for Nested Models , 1999 .

[23]  Martin D. D. Evans,et al.  Order Flow and Exchange Rate Dynamics , 1999, Journal of Political Economy.

[24]  Anthony S. Tay,et al.  Evaluating Density Forecasts with Applications to Financial Risk Management , 1998 .

[25]  K. West,et al.  Asymptotic Inference about Predictive Ability , 1996 .

[26]  R. Meese,et al.  An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination , 1991 .

[27]  James M. Nason,et al.  Nonparametric exchange rate prediction , 1990 .

[28]  Kenneth Rogoff,et al.  Empirical exchange rate models of the seventies , 1983 .

[29]  Jian Wang,et al.  The Taylor Rule and Forecast Intervals for Exchange Rates , 2008 .

[30]  Qi Li,et al.  Nonparametric Econometrics: Theory and Practice , 2006 .

[31]  Dag Tjøstheim,et al.  Testing for Serial Independence Using Measures of Distance between Densities , 1996 .

[32]  N. Mark,et al.  Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability , 1995 .