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Exchange rates and fundamentals : evidence on the economic value of predictability

Abhyankar, Abhay; Sarno, Lucio; Valente, Giorgio - In: Journal of international economics 66 (2005) 2, pp. 325-348

Persistent link: https://www.econbiz.de/10002961971

Modelling and forecasting stock returns : exploiting the futures market, regime shifts and international spillovers

Sarno, Lucio; Valente, Giorgio - In: Journal of applied econometrics 20 (2005) 3, pp. 345-376

Persistent link: https://www.econbiz.de/10002807207

The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields

Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 81-100

Persistent link: https://www.econbiz.de/10007614822

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors : A Step Beyond

Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - 2021

A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting...

Persistent link: https://www.econbiz.de/10013220936

Exchange rates and fundamentals : footloose or evolving relationship?

Sarno, Lucio; Valente, Giorgio - In: Journal of the European Economic Association 7 (2009) 4, pp. 786-830

Persistent link: https://www.econbiz.de/10003991826

A century of equity premium predictability and the consumption-wealth ratio : an international perspective

Della Corte, Pasquale; Sarno, Lucio; Valente, Giorgio - In: Journal of empirical finance 17 (2010) 3, pp. 313-331

Persistent link: https://www.econbiz.de/10009267297

The role of asymmetries and regime shifts in the term structure of interest rates

Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - In: The journal of business : B 79 (2006) 3, pp. 1193-1224

Persistent link: https://www.econbiz.de/10003336984

Nonlinearity in deviations from uncovered interest parity : an explanation of the foreward bias puzzle

Sarno, Lucio; Valente, Giorgio; Leon, Hyginus - 2006

Persistent link: https://www.econbiz.de/10003348270

Deviations from purchasing power parity under different exchange rate regimes : do they revert and, if so, how?

Sarno, Lucio; Valente, Giorgio - In: Journal of banking & finance 30 (2006) 11, pp. 3147-3169

Persistent link: https://www.econbiz.de/10003386439

The empirical failure of the expectations hypothesis of the term structure of bond yields

Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 81-100

Persistent link: https://www.econbiz.de/10003434577