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Nonparametric autoregression with multiplicative volatility and additive mean

Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998

Persistent link: https://www.econbiz.de/10000168636

The extended switching regression model : allowing for multiple latent state variables

Preminger, Arie; Ben-Zion, Uri; Wettstein, David - In: Journal of forecasting 26 (2007) 7, pp. 457-473

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Variation in the slope coefficient of the Fama regression for testing uncovered interest rate parity : evidence from fixed and time-varying coefficient approaches

Koning, Camiel de; Straetmans, Stefan - 1997

We investigate the potential presence of time variation in the coefficients of the ''Fama regression'' for Uncovered InterestRate Parity. We implement coefficient constancy tests, rolling regression techniques, and stochastic coefficient modelsbased on state space modelling. Among six major US...

Persistent link: https://www.econbiz.de/10010232864

Exchange rate misalignment estimates : sources of differences

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Persistent link: https://www.econbiz.de/10010471982

Foreign exchange risk and the predictability of carry trade returns

Cenedese, Gino; Sarno, Lucio; Tsiakas, Ilias - In: Journal of banking & finance 42 (2014), pp. 302-313

Persistent link: https://www.econbiz.de/10010408374

Empirical mode decomposition-based least squares support vector regression for foreign exchange rate forecasting

Lin, Chiun-sin; Chiu, Sheng-hsiung; Lin, Tzu-yu - In: Economic modelling 29 (2012) 6, pp. 2583-2590

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Conditional predictive ability of exchange rates in long run regressions

Pincheira, Pablo - In: Revista de análisis económico 28 (2013) 2, pp. 3-35

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Nonlinear prediction of conditional percentiles for value-at-risk

Chang, Isaac J. - In: Glucksman fellowship program student research reports. 1999

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Tales of tails : jumps in currency markets

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A new regression-based tail index estimator

Nicolau, João; Rodrigues, Paulo M. M. - In: The review of economics and statistics 101 (2019) 4, pp. 667-680

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