Stylized Facts of Nominal Exchange Rate Returns

[1]  Joseph H. Godwin,et al.  Foreign Currency Translation Under Two Case- Integrated and Isolated Economies , 1994 .

[2]  Kent D. Miller Diversification Responses to Environmental Uncertainties , 1994 .

[3]  K. Koedijk,et al.  Between Realignments and Intervention: the Belgian Franc in the European Monetary System , 1994 .

[4]  Stephen R. Blough The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples , 1992 .

[5]  S. Johansen Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models , 1991 .

[6]  H. V. Dijk,et al.  A Bayesian analysis of the unit root in real exchange rates , 1991 .

[7]  C. G. D. Vries,et al.  On the relation between GARCH and stable processes , 1991 .

[8]  Charles Goodhart,et al.  Every minute counts in financial markets , 1991 .

[9]  Daniel B. Nelson CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .

[10]  Patrick Minford,et al.  The Foreign Exchange Market: Theory and Econometric Evidence , 1990 .

[11]  Tim Bollerslev,et al.  A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets , 1990 .

[12]  L. Summers,et al.  Noise Trader Risk in Financial Markets , 1990, Journal of Political Economy.

[13]  Daniel B. Nelson ARCH models as diffusion approximations , 1990 .

[14]  Richard H. Thaler,et al.  Anomalies: Foreign Exchange , 1990 .

[15]  J. Stock Unit roots in real GNP: Do we know and do we care?: A comment , 1990 .

[16]  J. Stock,et al.  INFERENCE IN LINEAR TIME SERIES MODELS WITH SOME UNIT ROOTS , 1990 .

[17]  W. Wasserfallen Flexible exchange rates: A closer look , 1989 .

[18]  Craig S. Hakkio,et al.  Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets , 1989 .

[19]  Stephen F. LeRoy,et al.  Efficient Capital Markets and Martingales , 1989 .

[20]  J. Stock,et al.  Variable Trends in Economic Time Series , 1988 .

[21]  Distribution properties of Latin American black market exchange rates , 1988 .

[22]  C. G. Vries Theory and relevance of currency substitution with case studies for Canada and the Netherlands Antilles , 1988 .

[23]  Richard L. Smith Estimating tails of probability distributions , 1987 .

[24]  R. Hodrick,et al.  The empirical evidence on the efficiency of forward and futures foreign exchange markets . The political economy of protection . The welfare economics of international trade , 1987 .

[25]  Stephen L Taylor,et al.  Modelling Financial Time Series , 1987 .

[26]  P. Boothe,et al.  The statistical distribution of exchange rates: Empirical evidence and economic implications , 1987 .

[27]  Charles M. Goldie,et al.  SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS , 1987 .

[28]  C. Granger,et al.  Co-integration and error correction: representation, estimation and testing , 1987 .

[29]  R. Meese,et al.  Are Exchange Rates Excessively Variable? , 1987, NBER Macroeconomics Annual.

[30]  Mohsin S. Khan,et al.  Income and price effects in foreign trade , 1985 .

[31]  E. Fama,et al.  Forward and spot exchange rates , 1984 .

[32]  Kenneth S. Rogoff,et al.  Exchange rate models of the seventies. Do they fit out of sample , 1983 .

[33]  D. Mason Laws of Large Numbers for Sums of Extreme Values , 1982 .

[34]  L. Hansen,et al.  Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis , 1980, Journal of Political Economy.

[35]  Jeffrey A. Frankel,et al.  The diversifiability of exchange risk , 1979 .

[36]  Michael L. Mussa,et al.  Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market , 1979 .

[37]  J. Hausman Specification tests in econometrics , 1978 .

[38]  R. Lucas ASSET PRICES IN AN EXCHANGE ECONOMY , 1978 .

[39]  Risk-Aversion and the Martingale Property of Stock Prices: Comments , 1977 .

[40]  Chris Chatfield,et al.  Introduction to Statistical Time Series. , 1976 .

[41]  B. M. Hill,et al.  A Simple General Approach to Inference About the Tail of a Distribution , 1975 .

[42]  Stephen F. LeRoy,et al.  Risk Aversion and the Martingale Property of Stock Prices , 1973 .

[43]  R. Barro Inflationary Finance and the Welfare Cost of Inflation , 1972, Journal of Political Economy.

[44]  B. Mandelbrot The Variation of Certain Speculative Prices , 1963 .

[45]  W. Feller An Introduction to Probability Theory and Its Applications , 1959 .

[46]  L. Bachelier,et al.  Théorie de la spéculation , 1900 .