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Results 1 - 10
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20,255
and Spot Exchange Rates
- Journal qf Monetary Economics
, 1984
"... There is a general comemum that forward exchanse rates have tittle if any power as forecasts of future spot exchat ~ rateL There is less alpeentent on whether forward rates contain time varying premiumL Conditional on the bjpmlm ~ that the forward market is efficient or rational, this paper finds th ..."
Abstract
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Cited by 444 (1 self)
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that both components of foewa ~ rates vary through time. Moreover. most of the variation in forward rates is variatioa in premiums, and the pr~-mium and expected future spot rate components of forward rates are netatively correlat.,'d I. I n ~ There is much empirical work on forward foreign exchange
Empirical exchange rate models of the Seventies: do they fit out of sample?
- JOURNAL OF INTERNATIONAL ECONOMICS
, 1983
"... This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar exch ..."
Abstract
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Cited by 854 (12 self)
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This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar
The distribution of realized exchange rate volatility,
- Journal of the American Statistical Association
, 2001
"... Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximatel ..."
Abstract
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Cited by 333 (29 self)
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Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also
Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options
, 1993
"... ..."
Order Flow and Exchange Rate Dynamics
, 1999
"... Macroeconomic models of nominal exchange rates perform poorly. In sample, R 2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a naïve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic determina ..."
Abstract
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Cited by 303 (23 self)
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Macroeconomic models of nominal exchange rates perform poorly. In sample, R 2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a naïve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic
Results 1 - 10
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20,255
