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The high-frequency response of exchange rates and interest rates to macroeconomic announcements
Faust, Jon; Rogers, John H.; Wang, Shing-Yi; Wright, … - 2003
Persistent link: https://www.econbiz.de/10001814048
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Identifying the effects of monetary policy shocks on exchange rates using high frequency data
Faust, Jon; Rogers, John H.; Swanson, Eric T.; Wright, … - In: Journal of the European Economic Association 1 (2003) 5, pp. 1031-1057
Persistent link: https://www.econbiz.de/10001824463
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Detecting lack of identification in GMM
Wright, Jonathan H. - 2000
Persistent link: https://www.econbiz.de/10001504206
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GMM with weak identification
Stock, James H.; Wright, Jonathan H. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 5, pp. 1055-1096
Persistent link: https://www.econbiz.de/10001510570
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Confidence intervals for univariate impulse responses with a near unit root
Wright, Jonathan H. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 368-373
Persistent link: https://www.econbiz.de/10001493869
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High frequency data, frequency domain inference and volatility forecasting
Wright, Jonathan H.; Bollerslev, Tim - 1999
Persistent link: https://www.econbiz.de/10001433207
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Alternative variance-ratio tests using ranks and signs
Wright, Jonathan H. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10001441577
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Long memory in emerging market stock returns
Wright, Jonathan H. - 1999
Persistent link: https://www.econbiz.de/10001441771
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A simple approach to robust inference in a cointegrating system
Wright, Jonathan H. - 1999
Persistent link: https://www.econbiz.de/10001443840
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Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns
Wright, Jonathan H. - 2000
Persistent link: https://www.econbiz.de/10001531381