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Expectation formation in the foreign exchange market : a time-varying heterogeneity approach using survey data

Prat, Georges; Uctum, Remzi - In: Applied economics 47 (2015) 34/36, pp. 3673-3695

Persistent link: https://www.econbiz.de/10011293469

On the optimality of adaptive expectations: muth revisited and Optimal properties of exponentially weighted forecasts in the presence of different information sources

Satchell, Stephen; Timmermann, Allan - 1993

Persistent link: https://www.econbiz.de/10000891418

What do private agents believe about the time series properties of GNP?

Rudin, Jeremy R. - 1990

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Permanent-transitory confusion, ARCH models and the rationality of inflation forecasts

Rich, Robert W. - 1988

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Predictive behavior : an experimental study

Brennscheidt, Gunnar - 1993

Persistent link: https://www.econbiz.de/10000877906

Empirical research on exchange rate expectations : macro and micro perspectives

Rebitzky, Rafael R. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003580431

Expectation formation and regime switches

Becker, Otwin; Leitner, Johannes; Leopold-Wildburger, Ulrike - In: Experimental economics : a journal of the Economic … 12 (2009) 3, pp. 350-364

Persistent link: https://www.econbiz.de/10003877530

Level shifts in stock returns driven by large shocks

Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of empirical finance 29 (2014), pp. 41-51

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The impact of uncertainty on professional exchange rate forecasts

Beckmann, Joscha; Czudaj, Robert - 2016

This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for four major currencies based on survey data provided by FX4casts. We consider economic policy, macroeconomic, and financial uncertainty as well as disagreement among CPI...

Persistent link: https://www.econbiz.de/10011532311

Cyclicality and term structure of value‐at‐risk within a threshold autoregression setup

Bec, Frédérique; Gollier, Christian - 2014

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