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Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns : can non-linear dynamics help forecasting

Cecen, A. A. - In: International journal of forecasting 12 (1996) 4, pp. 465-473

Persistent link: https://www.econbiz.de/10001214771

Are exchange rates determined by macroeconomic factors?

Williams, Geoffrey - In: Applied economics 30 (1998) 4, pp. 553-567

Persistent link: https://www.econbiz.de/10001241249

Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns : further evidence

Cecen, A. A. - In: Economics letters 51 (1996) 3, pp. 323-329

Persistent link: https://www.econbiz.de/10001200985

Forecasting exchange rate volatility using conditional variance models selected by information criteria

Brooks, Chris - In: Economics letters 61 (1998) 3, pp. 273-278

Persistent link: https://www.econbiz.de/10001252467

Interest rates and the exchange rate : some international evidence

Monadjemi, Mehdi S. - 1997

Persistent link: https://www.econbiz.de/10000969534

The excess volatility of foreign exchange rates: statistical puzzle or theoretical artifact?

Hauswald, Robert B. H. - 1999

Persistent link: https://www.econbiz.de/10001363078

Are exchange rates determined by macroeconomic factors?

Williams, Geoffrey Alan - In: Studies in quantitative macroeconomics, (pp. 7-[46]). 1997

Persistent link: https://www.econbiz.de/10001561850

Exchange rate dynamics and speculator behavior

Osler, Carol - 1992

Persistent link: https://www.econbiz.de/10000854286

Real Exchange Rate Volatility, Financial Crises and Nominal Exchange Regimes

Morales-Zumaquero, Amalia - 2012

This paper examines the sources of real exchange rate (RER) volatility in eighty countries around the world, during the … the RER volatility. To that end, we employ two complementary procedures that consist in detecting structural breaks in the … RER series and decomposing volatility into its permanent and transitory components. The results confirm that exchange rate …

Persistent link: https://www.econbiz.de/10013099193

The Scapegoat Theory of Exchange Rates : The First Tests

Fratzscher, Marcel - 2013

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011). This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which...

Persistent link: https://www.econbiz.de/10013082028