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Richard T. Baillie

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-124, April-Jun.

    Mentioned in:

    1. Bivariate garch estimation of the optimal commodity futures Hedge (Journal of Applied Econometrics 1991) in ReplicationWiki ()
  2. Baillie, Richard T, 1989. "Forecast Master: A Review," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(3), pages 305-307, July-Sept.

    Mentioned in:

    1. Forecast master: A review (Journal of Applied Econometrics 1989) in ReplicationWiki ()

Working papers

  1. Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim & Aaron Mora, 2024. "On Robust Inference in Time Series Regression," NBER Working Papers 32554, National Bureau of Economic Research, Inc.

    Cited by:

    1. Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim, 2022. "A New Test forMarket Efficiency and Uncovered Interest Parity," PIER Working Paper Archive 22-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

  2. Richard T. Baillie & Owen F. Humpage & William P. Osterberg, 1999. "Intervention as information: a survey," Working Papers (Old Series) 9918, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Mr. Jorge I Canales Kriljenko, 2003. "Foreign Exchange Intervention in Developing and Transition Economies: Results of a Survey," IMF Working Papers 2003/095, International Monetary Fund.
    2. Kim, Suk-Joong, 2007. "Intraday evidence of efficacy of 1991-2004 Yen intervention by the Bank of Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(4), pages 341-360, October.
    3. Gabriele Galati & William Melick, 2002. "Central bank intervention and market expectations," BIS Papers, Bank for International Settlements, number 10.

  3. Richard T. Baillie & William P. Osterberg, 1998. "Central bank intervention and overnight uncovered interest rate parity," Working Papers (Old Series) 9823, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Alex Luiz Ferreira, 2004. "Leaning Against the Parity," Studies in Economics 0413, School of Economics, University of Kent.
    2. Michel Beine & Agnes Bénassy-Quéré & Christelle Lecourt, 2002. "Central Bank intervention and foreign exchange rates: new evidence from FIGARCH estimations," ULB Institutional Repository 2013/10445, ULB -- Universite Libre de Bruxelles.
    3. Michel Beine & Agnès Bénassy-Quéré & Christelle Lecourt, 1999. "The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations," Working Papers 1999-14, CEPII research center.

  4. Baillie, R.T. & Baltagi, B.H., 1994. "Prediction from the Regression Model with one-way Error Components," Papers 9405, Michigan State - Econometrics and Economic Theory.

    Cited by:

    1. Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2009. "Forecasting with Spatial Panel Data," IZA Discussion Papers 4242, Institute of Labor Economics (IZA).
    2. Mehdi Farsi & Massimo Filippini, 2004. "Regulation and Measuring Cost-Efficiency with Panel Data Models: Application to Electricity Distribution Utilities," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 25(1), pages 1-19, August.
    3. Badi Baltagi & Dong Li, 2006. "Prediction in the Panel Data Model with Spatial Correlation: the Case of Liquor," Spatial Economic Analysis, Taylor & Francis Journals, vol. 1(2), pages 175-185.
    4. Silvia Banfi & Massimo Filippini & Cornelia Luchsinger, 2004. "Resource Rent Taxation – A New Perspective for the (Swiss) Hydropower Sector," CEPE Working paper series 04-34, CEPE Center for Energy Policy and Economics, ETH Zurich.
    5. Badi H. Baltagi, 2008. "Forecasting with panel data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 153-173.

  5. Baillie, R.T. & Osterberg, W.P., 1993. "Central Bank Intervention and Risk in the Forward Premium," Papers 9109, Michigan State - Econometrics and Economic Theory.

    Cited by:

    1. Baillie, Richard T. & Osterberg, William P., 1997. "Why do central banks intervene?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 909-919, December.
    2. Rebecca Wetmore Humes & William P. Osterberg, 1993. "The inaccuracy of newspaper reports of U.S. foreign exchange intervention," Economic Review, Federal Reserve Bank of Cleveland, vol. 29(Q IV), pages 25-33.

  6. Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers 9103, Michigan State - Econometrics and Economic Theory.

    Cited by:

    1. Jérôme Héricourt & Julien Reynaud, 2006. "La crise monétaire turque de 2000/2001 : analyse de l'échec du plan de stabilisation par le change du FMI," Cahiers de la Maison des Sciences Economiques bla06009, Université Panthéon-Sorbonne (Paris 1).
    2. Ingolf Dittmann, 2000. "Residual‐Based Tests For Fractional Cointegration: A Monte Carlo Study," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(6), pages 615-647, November.
    3. Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," AMSE Working Papers 1215, Aix-Marseille School of Economics, France.
    4. Keith Pilbeam & Jose Olmo, 2011. "The forward discount puzzle and market efficiency," Annals of Finance, Springer, vol. 7(1), pages 119-135, February.
    5. Yan, Meng & Chen, Jian & Song, Victor & Xu, Ke, 2022. "Trade friction and price discovery in the USD–CAD spot and forward markets," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    6. Luis A Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2015. "The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach," Working Papers 201501, University of Pretoria, Department of Economics.
    7. Sweeney, R. J., 2000. "Does the Fed beat the foreign-exchange market?," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 665-694, May.
    8. Mun, Kyung-Chun & Morgan, George Emir, 2003. "Risk premia on foreign exchange: a direct approach," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 231-250, July.
    9. Choudhry, Taufiq, 1999. "Re-examining forward market efficiency Evidence from fractional and Harris-Inder cointegration tests," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 433-453, November.
    10. Luis Gil-Alana, 2004. "Forecasting the real output using fractionally integrated techniques," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1583-1589.
    11. Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, vol. 8(3), pages 291-308, September.
    12. de Truchis, Gilles & Dell’Eva, Cyril & Keddad, Benjamin, 2017. "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 82-98.
    13. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics.
    14. Aggarwal, Raj & Mougoue, Mbodja, 1998. "Common Stochastic Trends among Asian Currencies: Evidence for Japan, ASEANs, and the Asian Tigers," Review of Quantitative Finance and Accounting, Springer, vol. 10(2), pages 193-206, March.
    15. Xu, Ke & Stewart, Kenneth G. & Cao, Zeyang, 2022. "Fractional cointegration and price discovery in Canadian commodities," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    16. Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2009. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77562, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    17. Karim M. Abadir & Gabriel Talmain, 2008. "Macro and Financial Markets: The Memory of an Elephant?," Working Paper series 17_08, Rimini Centre for Economic Analysis.
    18. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
    19. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
    20. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    21. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2022. "Globalization, long memory, and real interest rate convergence: a historical perspective," Empirical Economics, Springer, vol. 63(5), pages 2331-2355, November.
    22. Luis Alberiko Gil-Alana, 2004. "A fractionally integrated model for the Spanish real GDP," Economics Bulletin, AccessEcon, vol. 3(8), pages 1-6.
    23. Robert Lewis & Gary O’Donovan & Roger Willett, 2017. "The Effect of Environmental Activism on the Long-run Market Value of a Company: A Case Study," Journal of Business Ethics, Springer, vol. 140(3), pages 455-476, February.
    24. Aaron D. Smallwood & Stefan C. Norrbin, 2006. "Generalized long memory processes, failure of cointegration tests and exchange rate dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 409-417, May.
    25. Mármol, Francesc, 1998. "FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 4672, Universidad Carlos III de Madrid. Departamento de Estadística.
    26. Bent Jesper Christensen & Morten Ø. Nielsen, "undated". "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, Department of Economics and Business Economics, Aarhus University.
    27. Tse, Yiuman & Booth, G. Geoffrey, 1996. "Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: Evidence from the futures market," Journal of Economics and Business, Elsevier, vol. 48(3), pages 299-312, August.
    28. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Economic Policy Uncertainty: Persistence and Cross-Country Linkages," CESifo Working Paper Series 8289, CESifo.
    29. Imene Mootamri & Mohamed Boutahar & Anne Peguin-Feissolle, 2008. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Post-Print halshs-00390134, HAL.
    30. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2018. "Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence," CESifo Working Paper Series 7073, CESifo.
    31. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    32. Greg Tkacz, 2000. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Staff Working Papers 00-5, Bank of Canada.
    33. Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    34. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, University Library of Munich, Germany.
    35. Dittmann, Ingolf, 2000. "Error correction models for fractionally cointegrated time series," Technical Reports 2000,02, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    36. Sjoo, Boo & Sweeney, Richard J., 2001. "The foreign-exchange costs of central bank intervention: evidence from Sweden," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 219-247, April.
    37. Gil-Alana, L.A., 2006. "Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 87-98, March.
    38. Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
    39. Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
    40. Qi, Min & Wu, Yangru, 2003. "Nonlinear prediction of exchange rates with monetary fundamentals," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 623-640, December.
    41. Gilles de Truchis & Benjamin Keddad, 2012. "South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates," Working Papers halshs-00793503, HAL.
    42. Abul Masih & Rumi Masih, 1998. "A multivariate cointegrated modelling approach in testing temporal causality between energy consumption, real income and prices with an application to two Asian LDCs," Applied Economics, Taylor & Francis Journals, vol. 30(10), pages 1287-1298.
    43. Cheng, Xu & Phillips, Peter C.B., 2012. "Cointegrating rank selection in models with time-varying variance," Journal of Econometrics, Elsevier, vol. 169(2), pages 155-165.
    44. Chiang, Mi-Hsiu & Chiu, Hsin-Yu & Kuo, Wei-Yu, 2021. "Predictive ability of similarity-based futures trading strategies," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    45. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
    46. Sang‐Kuck Chung, 2009. "Out‐of‐sample Hedge Performances for Risk Management in China Commodity Futures Markets," Asian Economic Journal, East Asian Economic Association, vol. 23(3), pages 349-372, September.
    47. Hassler, Uwe & Breitung, Jörg, 2009. "A Residual-Based LM Test for Fractional Cointegration," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77555, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    48. Javier Hualde & Peter M Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series 499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    49. Jin, Hyun J. & Elder, John & Koo, Won W., 2006. "A reexamination of fractional integrating dynamics in foreign currency markets," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 120-135.
    50. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Working Papers halshs-00567472, HAL.
    51. Diana Zigraiova & Tomas Havranek & Jiri Novak, 2020. "How puzzling is the forward premium puzzle? A meta-analysis," Working Papers 46, European Stability Mechanism.
    52. Javier Hualde & A Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series /06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    53. Michael KUEHL, 2008. "Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset," EcoMod2008 23800071, EcoMod.
    54. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
    55. Jeng, Jau-Lian, 1999. "Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model," Global Finance Journal, Elsevier, vol. 10(1), pages 25-34.
    56. Luis A. Gil-Alana, 2004. "Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 123-138, August.
    57. Rapp, Tammy A. & Sharma, Subhash C., 1999. "Exchange rate market efficiency: across and within countries," Journal of Economics and Business, Elsevier, vol. 51(5), pages 423-439, September.
    58. John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums," Boston College Working Papers in Economics 461, Boston College Department of Economics, revised 13 Jun 2001.
    59. Patrick Wilson & Ralf Zurbruegg, 2003. "Trends and Spectral Response: An Examination of the US Realty Market," Centre for International Economic Studies Working Papers 2003-15, University of Adelaide, Centre for International Economic Studies.
    60. Ke Xu & Yu‐Lun Chen & Bo Liu & Jian Chen, 2024. "Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 605-618, April.
    61. DeGennaro, Ramon P & Kunkel, Robert A & Lee, Junsoo, 1994. "Modeling International Long-Term Interest Rates," The Financial Review, Eastern Finance Association, vol. 29(4), pages 577-597, November.
    62. Kim Liow & Haishan Yang, 2005. "Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 31(3), pages 283-300, November.
    63. A. Mansur & M. Masih & Rumi Masih, 2004. "Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 593-605.
    64. Patrick J. Wilson & John Okunev, 1999. "Long-Term Dependencies and Long Run non-Periodic Co-Cycles: Real Estate and Stock Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 257-278.
    65. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
    66. Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
    67. Morten Oerregaard Nielsen, "undated". "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, Department of Economics and Business Economics, Aarhus University.
    68. Abul Masih & Rumi Masih, 1998. "A fractional cointegration analysis of the long-run relationship between black and official foreign exchange rates: the case of the Brazilian cruzeiro," Applied Economics, Taylor & Francis Journals, vol. 30(7), pages 853-861.
    69. Terence Tai-Leung, Chong, 1998. "Estimating the Differencing Parameter Via the Partial Autocorrelation Function," Departmental Working Papers _088, Chinese University of Hong Kong, Department of Economics.
    70. Ghosh, Asim, 1996. "Cross-Hedging Foreign Currency Risk: Empirical Evidence from an Error Correction Model," Review of Quantitative Finance and Accounting, Springer, vol. 6(3), pages 223-231, May.
    71. Mark J. Jensen, 1998. "An Approximate Wavelet MLE of Short and Long Memory Parameters," Econometrics 9802003, University Library of Munich, Germany, revised 21 Jun 1999.
    72. Boubaker, Heni & Zorgati, Mouna Ben Saad & Bannour, Nawres, 2021. "Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 592-608.
    73. Celso Brunetti & Christopher L. Gilbert, 1999. "Bivariate FIGARCH and Fractional Cointegration," Working Papers 408, Queen Mary University of London, School of Economics and Finance.
    74. Karim Abadir & Giovanni Caggiano & Gabriel Talmain, 2005. "Nelson-Plosser Revisited: the ACF Approach," Working Papers 2005_7, Business School - Economics, University of Glasgow.
    75. L.A. Gil-Alana, 2003. "Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses," Computational Economics, Springer;Society for Computational Economics, vol. 22(1), pages 23-38, August.
    76. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex Business School.
    77. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004. "Fractional cointegration and real exchange rates," Review of Financial Economics, John Wiley & Sons, vol. 13(4), pages 327-340.
    78. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
    79. John Okunev & Pat Wilson, 1996. "Fractional Co-Integration in Domestic and International Real Estate and Stock Markets," Working Paper Series 65, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    80. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-21, University of Connecticut, Department of Economics.
    81. Saba Qureshi & Muhammad Aftab, 2023. "Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis," Global Business Review, International Management Institute, vol. 24(6), pages 1180-1204, December.
    82. Chen, Willa W. & Hurvich, Clifford M., 2003. "Estimating fractional cointegration in the presence of polynomial trends," Journal of Econometrics, Elsevier, vol. 117(1), pages 95-121, November.
    83. Michael J. Dueker & Richard Startz, 1997. "Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve," Working Papers 1994-027, Federal Reserve Bank of St. Louis.
    84. Shimotsu, Katsumi & 下津, 克己, 2010. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Discussion Papers 2010-11, Graduate School of Economics, Hitotsubashi University.
    85. Clements, A.E. & Hurn, A.S. & Volkov, V.V., 2016. "Common trends in global volatility," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 194-214.
    86. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper series 25_12, Rimini Centre for Economic Analysis.
    87. Diamandis, Panayiotis F. & Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2008. "Testing the forward rate unbiasedness hypothesis during the 1920s," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 358-373, October.
    88. Bang Nam Jeon & Euiseong Lee, 2002. "Foreign exchange market efficiency, cointegration, and policy coordination," Applied Economics Letters, Taylor & Francis Journals, vol. 9(1), pages 61-68.
    89. Carol Alexandra & Anca Dimitriu, 2002. "The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies," ICMA Centre Discussion Papers in Finance icma-dp2002-08, Henley Business School, University of Reading.
    90. Luis A. Gil-Alana & Emmanuel Joel Aikins Abakah & Nieves Carmona-González & Aviral Kumar Tiwari, 2024. "Consumer sentiments across G7 and BRICS economies: Are they related?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(2), pages 323-344, June.
    91. Boubaker Heni & Boutahar Mohamed, 2011. "A wavelet-based approach for modelling exchange rates," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(2), pages 201-220, June.
    92. Carlos P. Barros & Luis Alberiko Gil-Alana & João Faria, 2015. "Mozambique Metical Exchange Rate Dynamics: Evidence of Fractional Co-Integration in the USA and South African Rates," South African Journal of Economics, Economic Society of South Africa, vol. 83(4), pages 569-575, December.
    93. Luintel, K. B. & Paudyal, K., 1998. "Common stochastic trends between forward and spot exchange rates," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 279-297, April.
    94. Smallwood Aaron D, 2005. "Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-30, June.
    95. Spelta, A. & Flori, A. & Pecora, N. & Pammolli, F., 2021. "Financial crises: Uncovering self-organized patterns and predicting stock markets instability," Journal of Business Research, Elsevier, vol. 129(C), pages 736-756.
    96. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Economics Bulletin, AccessEcon, vol. 30(1), pages 115-129.
    97. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2009. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve Hypothesis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 42(4), pages 551-574, April.
    98. Cochran, Steven J. & DeFina, Robert H., 1996. "Predictability in real exchange rates: Evidence from parametric hazard models," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 125-147.
    99. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Staff Working Papers 97-1, Bank of Canada.
    100. Luis A. Gil-Alana, 2004. "Structural Change and the Order of Integration in Univariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 23(3), pages 239-254, April.
    101. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    102. John Barkoulas & Christopher F. Baum, 1996. "A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange Market Efficiency," Boston College Working Papers in Economics 311., Boston College Department of Economics.
    103. Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank of Ireland.
    104. Munehisa Kasuya & Kozo Ueda, 2000. "Testing the Purchasing Power Parity Hypothesis: Re-examination by Additional Variables, Tests with Known Cointegrating Vectors, Monte Carlo Critical Values, and Fractional Cointegration," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
    105. Kühl, Michael, 2007. "Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses," University of Göttingen Working Papers in Economics 68, University of Goettingen, Department of Economics.
    106. Monge, Manuel & Claudio-Quiroga, Gloria & Poza, Carlos, 2024. "Chinese economic behavior in times of covid-19. A new leading economic indicator based on Google trends," International Economics, Elsevier, vol. 177(C).
    107. Tse, Y. K. & Ng, L. K., 1997. "The cointegration of Asian currencies revisited," Japan and the World Economy, Elsevier, vol. 9(1), pages 109-114, March.
    108. Bravo Caro, José Manuel & Golpe, Antonio A. & Iglesias, Jesús & Vides, José Carlos, 2020. "A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends," Energy Economics, Elsevier, vol. 85(C).
    109. Mainardi, Stefano, 2001. "Limited arbitrage in international wheat markets: threshold and smooth transition cointegration," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 45(3), pages 1-26.
    110. Heni Boubaker & Nadia Sghaier, 2014. "Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter," Working Papers 2014-284, Department of Research, Ipag Business School.
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    91. Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group.
    92. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    93. Juan J. Dolado & Heiko Rachinger & Carlos Velasco, 2022. "LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 629-650, April.
    94. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
    95. Mark, Nelson C. & Moh, Young-Kyu, 2007. "Official interventions and the forward premium anomaly," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 499-522, September.
    96. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2022. "Economic importance of correlations for energy and other commodities," Energy Economics, Elsevier, vol. 107(C).
    97. Pasquini, Michele & Serva, Maurizio, 2000. "Indeterminacy in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 277(1), pages 228-238.
    98. Nakamura, H. Richard, 2002. "Mapping Out the Japanese Mergers & Acquisitions Patterns - The Influence of Macro Factors on M & As," EIJS Working Paper Series 164, Stockholm School of Economics, The European Institute of Japanese Studies.
    99. Cho, Dooyeon & Chun, Sungju, 2019. "Can structural changes in the persistence of the forward premium explain the forward premium anomaly?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 225-235.
    100. Pasquini, Michele & Serva, Maurizio, 1999. "Multiscale behaviour of volatility autocorrelations in a financial market," Economics Letters, Elsevier, vol. 65(3), pages 275-279, December.
    101. Richard T. Baillie & George Kapetanios, 2006. "Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates," Working Papers 570, Queen Mary University of London, School of Economics and Finance.
    102. Nessrine Hamzaoui & Boutheina Regaieg, 2016. "The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1608-1615.
    103. Charfeddine, Lanouar & Khediri, Karim Ben & Mrabet, Zouhair, 2019. "The forward premium anomaly in the energy futures markets: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 47(C), pages 600-615.
    104. Haitham A. Al-Zoubi, 2017. "Cyclical and Persistent Carry Trade Returns and Forward Premia," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-33, December.
    105. Aaron Smallwood; Alex Maynard; Mark Wohar, 2005. "The Long and the Short of It: Long Memory Regressors and Predictive Regressions," Computing in Economics and Finance 2005 384, Society for Computational Economics.
    106. Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.
    107. Tsay, Wen-Jen, 2000. "Long memory story of the real interest rate," Economics Letters, Elsevier, vol. 67(3), pages 325-330, June.
    108. Benjamin J. C. Kim & David Karemera, 2006. "Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 369-380.
    109. Nakamura, Richard, 2004. "To Merge And Acquire When The Times Are Good? The Influence Of Macro Factors On The Japanese M&A Pattern," EIJS Working Paper Series 197, Stockholm School of Economics, The European Institute of Japanese Studies.
    110. Baillie, Richard T. & Kapetanios, George, 2008. "Nonlinear models for strongly dependent processes with financial applications," Journal of Econometrics, Elsevier, vol. 147(1), pages 60-71, November.
    111. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    112. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    113. Sakoulis, Georgios & Zivot, Eric & Choi, Kyongwook, 2010. "Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 957-966, December.
    114. Sofiane Amri, 2008. "Analysing the forward premium anomaly using a Logistic Smooth Transition Regression model," Economics Bulletin, AccessEcon, vol. 6(26), pages 1-18.
    115. Richard T. Baillie & Rehim Kilic, 2005. "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?," Working Papers 543, Queen Mary University of London, School of Economics and Finance.
    116. Town, R.J., "undated". "Merger," Instructional Stata datasets for econometrics merger, Boston College Department of Economics.
    117. Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    118. Amit K. Sinha & Philip A. Horvath & Robert C. Scott, 2017. "The real miss-specification in the forward rate premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 463-473, July.
    119. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.
    120. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.
    121. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Real convergence in Taiwan: a fractionally integrated approach," Journal of Asian Economics, Elsevier, vol. 15(3), pages 529-547, June.
    122. Koul, Hira L. & Baillie, Richard T., 2003. "Asymptotics of M-estimators in non-linear regression with long memory designs," Statistics & Probability Letters, Elsevier, vol. 61(3), pages 237-252, February.
    123. TAKAGI Shinji & ESAKA Taro, 2001. "Risk Premiums and Exchange Rate Expectations: A Reassessment of the So-Called Dollar Peg Policies of Crisis East Asian Countries, 1994-97," ESRI Discussion paper series 003, Economic and Social Research Institute (ESRI).

  8. Richard T. Baillie & Owen F. Humpage, 1992. "Post-Louvre intervention: did target zones stabilize the dollar?," Working Papers (Old Series) 9203, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2003. "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," European Economic Review, Elsevier, vol. 47(5), pages 891-911, October.
    2. Bonser-Neal, Catherine & Tanner, Glenn, 1996. "Central bank intervention and the volatility of foreign exchange rates: evidence from the options market," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 853-878, December.
    3. Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 779-793, September.
    4. Leachman, Lori L. & Francis, Bill, 1995. "Long-run relations among the G-5 and G-7 equity markets: Evidence on the Plaza and Louvre Accords," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 551-577.
    5. Disyatat, Piti & Galati, Gabriele, 2007. "The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 383-402, April.
    6. Brissimis, Sophocles N. & Chionis, Dionysios P., 2004. "Foreign exchange market intervention: implications of publicly announced and secret intervention for the euro exchange rate and its volatility," Journal of Policy Modeling, Elsevier, vol. 26(6), pages 661-673, September.
    7. Ai-ru (Meg) Cheng & Kuntal Das & Takeshi Shimatani, 2013. "Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility," Working Papers in Economics 13/19, University of Canterbury, Department of Economics and Finance.
    8. Döpke, Jörg & Pierdzioch, Christian, 1999. "What can the ECB learn from Bundesbank interventions? Evidence on the link between exchange rate volatility and interventions," Kiel Working Papers 955, Kiel Institute for the World Economy (IfW Kiel).
    9. Chang, Yuanchen & Taylor, Stephen J., 1998. "Intraday effects of foreign exchange intervention by the Bank of Japan1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 191-210, February.
    10. Kiss M., Norbert, 2005. "A jegybanki devizapiaci intervenció hatékonysága. Nemzetközi tapasztalatok és elméleti megfontolások [Effectiveness of central-bank intervention on foreign-exchange markets. International experienc," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 846-872.
    11. Bang Nam Jeon & Euiseong Lee, 2002. "Foreign exchange market efficiency, cointegration, and policy coordination," Applied Economics Letters, Taylor & Francis Journals, vol. 9(1), pages 61-68.
    12. Ronald McDonald & Xuxin Mao, 2016. "Japan's Currency Intervention Regimes: A Microstructural Analysis with Speculation and Sentiment," Working Papers 2016_06, Business School - Economics, University of Glasgow.
    13. Neil Beattie & Jean-François Fillion, 1999. "An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention," Staff Working Papers 99-4, Bank of Canada.
    14. Castillo-Maldonado, Carlos Eduardo, 2008. "Intervención cambiaria en Guatemala: ¿Ha sido efectiva? [Foreign Exchange Market Intervention in Guatemala: Has it been Effective?]," MPRA Paper 79038, University Library of Munich, Germany.
    15. Gabriele Galati & William Melick, 2002. "Central bank intervention and market expectations," BIS Papers, Bank for International Settlements, number 10.
    16. Pontines, Victor, 2018. "Self-selection and treatment effects: Revisiting the effectiveness of foreign exchange intervention," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 299-316.
    17. Gabriele Galati & Patrick C. Higgins & Owen F. Humpage & William R. Melick, 2006. "Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide," Working Papers (Old Series) 0618, Federal Reserve Bank of Cleveland.
    18. Aggarwal, Raj & Schirm, David C., 1998. "Asymmetric impact of trade balance news on asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 83-100, January.
    19. Bahram Adrangi & Mary Allender & Kambiz Raffiee, 2011. "An Ex-Post Empirical Investigation of the Efficacy of Central Bank Interventions in Currency Markets: Bilateral Exchange Rate of the Dollar," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 19-34, August.
    20. William Melick & Gabriele Galati, 1999. "Perceived central bank intervention and market expectations: an empirical study of the yen/dollar exchange rate, 1993 - 96," BIS Working Papers 77, Bank for International Settlements.
    21. Rebecca Wetmore Humes & William P. Osterberg, 1993. "The inaccuracy of newspaper reports of U.S. foreign exchange intervention," Economic Review, Federal Reserve Bank of Cleveland, vol. 29(Q IV), pages 25-33.
    22. Grossmann, Axel & Orlov, Alexei G., 2012. "Exchange rate misalignments in frequency domain," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 185-199.
    23. Jeon, Bang Nam & Seo, Byeongseon, 2003. "The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 509-525, September.

  9. Tieslau, M.A. & Schmidt, P. & Baillie, R.T., 1992. "A Generalized Method of Moments Estimator for Long-Memory Processes," Papers 9100, Michigan State - Econometrics and Economic Theory.

    Cited by:

    1. Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," LIDAM Reprints CORE 1246, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  10. Baillie, R.T. & Chung, C.F. & Tieslau, M.A., 1992. "A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis," Papers 9102, Michigan State - Econometrics and Economic Theory.

    Cited by:

    1. Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," LIDAM Reprints CORE 1246, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Laura Mayoral, 2005. "The persistence of inflation in OECD countries: A fractionally integrated approach," Economics Working Papers 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
    3. Cheung, Yin-Wong & Chung, Sang-Kuck, 2009. "A Long Memory Model with Mixed Normal GARCH for US Inflation Data," Santa Cruz Department of Economics, Working Paper Series qt2202s99q, Department of Economics, UC Santa Cruz.
    4. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
    5. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra.
    6. Yin-Wong Cheung & Sang-Kuck Chung, 2011. "A Long Memory Model with Normal Mixture GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 517-539, November.

  11. Richard T. Baillie & William P. Osterberg, 1991. "The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990," Working Papers (Old Series) 9109, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Osler, C. L., 1995. "Exchange rate dynamics and speculator horizons," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 695-719, October.

  12. Baillie, R.T. & Pecchenino, R.A., 1991. "The Search for Equilibrium Relationships in International Finance : The Case of the Monetary Model," Papers 9003, Michigan State - Econometrics and Economic Theory.

    Cited by:

    1. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    2. Davis, George K. & Miller, Norman C., 1996. "Exchange rate mean reversion from real shocks within an intertemporal equilibrium model," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 947-967, December.
    3. Hoda Selim, 2010. "Has Egypt’s Monetary Policy Changed after The Float?," Working Papers 543, Economic Research Forum, revised 09 Jan 2010.
    4. Dibooglu, Selahattin, 1993. "Multiple cointegration and structural models: applications to exchange rate determination," ISU General Staff Papers 1993010108000011419, Iowa State University, Department of Economics.
    5. Carlo Altavilla & Paul De Grauwe, 2010. "Non-linearities in the relation between the exchange rate and its fundamentals," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 1-21.
    6. Ekong, Christopher N. & Onye, Kenneth U., 2013. "The Failure of the Monetary Exchange Rate Model for the Naira-Dollar," MPRA Paper 88238, University Library of Munich, Germany.
    7. Reza Siregar, 2011. "The Concepts of Equilibrium Exchange Rate: A Survey of Literature," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp81, April.
    8. Cushman, David O. & Sang Sub Lee & Thorgeirsson, Thorsteinn, 1996. "Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 337-368, June.
    9. Zhou, Su & Mahdavi, Saeid, 1996. "Simple vs. generalized interest rate and purchasing power parity models of exchange rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(2), pages 197-218.
    10. Lizardo, Radhamés A. & Mollick, André V., 2010. "Oil price fluctuations and U.S. dollar exchange rates," Energy Economics, Elsevier, vol. 32(2), pages 399-408, March.
    11. Sarno, Lucio & Wohar, Mark, 2003. "Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes," Computing in Economics and Finance 2003 310, Society for Computational Economics.
    12. Heung Wong & W. Li & Shiqing Ling, 2005. "Joint modeling of cointegration and conditional heteroscedasticity with applications," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(1), pages 83-103, March.
    13. Ibhagui, Oyakhilome W., 2019. "Does the long-run monetary model hold for Sub-Saharan Africa? A time series and panel-cointegration study," Research in International Business and Finance, Elsevier, vol. 47(C), pages 279-303.
    14. CIVCIR Irfan, 2010. "The Monetary Models of the Turkish Lira/Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics and Forecasting," EcoMod2003 330700038, EcoMod.
    15. Rapach, David E. & Wohar, Mark E., 2004. "Testing the monetary model of exchange rate determination: a closer look at panels," Journal of International Money and Finance, Elsevier, vol. 23(6), pages 867-895, October.
    16. Wu, Jyh-Lin & Chen, Show-Lin, 2001. "Nominal exchange-rate prediction: evidence from a nonlinear approach," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 521-532, August.
    17. Caner, M. & Kilian, L., 2001. "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 639-657, October.
    18. Irfan Civcir, 2004. "The Long-Run Validity of the Monetary Exchange Rate Model for a High Inflation Country and Misalignment : The Case of Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(4), pages 84-100, July.
    19. Song, Chi-Young, 1997. "The Real Exchange Rate and the Current Account Balance in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 11(2), pages 143-184, June.
    20. Selahattin Dibooglu, 1995. "Real Disturbances, Relative Prices, and Purchasing Power Parity," International Finance 9502002, University Library of Munich, Germany.
    21. Lothian, James R. & McCarthy, Cornelia H., 2009. "The behavior of money and other economic variables: Two natural experiments," Journal of International Money and Finance, Elsevier, vol. 28(7), pages 1204-1220, November.
    22. Carlo Altavilla, 2006. "The (Un-) Stable Relationship between The Exchange rate and its Fundamentals," Discussion Papers 6_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
    23. Miller, Norman C., 2005. "Can exchange rate variations or trade policy alter the equilibrium current account?," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 465-480, April.
    24. Culver, Sarah E. & Papell, David H., 1999. "Long-run purchasing power parity with short-run data: evidence with a null hypothesis of stationarity," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 751-768, October.
    25. Kanas, Angelos, 1997. "Is economic exposure asymmetric between long-run depreciations and appreciations? Testing using cointegration analysis," Journal of Multinational Financial Management, Elsevier, vol. 7(1), pages 27-42, April.
    26. Roman Frydman & Michael D. Goldberg, 2001. "Macroeconomic Fundamentals and the DM/$ Exchange Rate: Temporal Instability and the Monetary Model," Working Papers 50, Oesterreichische Nationalbank (Austrian Central Bank).
    27. Steigerwald, Douglas G., 1996. "Purchasing power parity, unit roots, and dynamic structure," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 343-357, February.
    28. Rapach, David E. & Wohar, Mark E., 2002. "Testing the monetary model of exchange rate determination: new evidence from a century of data," Journal of International Economics, Elsevier, vol. 58(2), pages 359-385, December.
    29. Baillie, Richard T. & Osterberg, William P., 1997. "Why do central banks intervene?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 909-919, December.
    30. Dimitris Kirikos, 1996. "The role of the forecast-generating process in assessing asset market models of the exchange rate: a non-linear case," The European Journal of Finance, Taylor & Francis Journals, vol. 2(2), pages 125-144.
    31. W A Razzak & Thomas Grennes, 1998. "The long-run nominal exchange rate: specification and estimation issues," Reserve Bank of New Zealand Discussion Paper Series G98/5, Reserve Bank of New Zealand.
    32. Tawadros, George B., 2008. "A structural time series test of the monetary model of exchange rates under four big inflations," Economic Modelling, Elsevier, vol. 25(6), pages 1216-1224, November.

  13. Baillie, R.T. & Bollerslev, R.T., 1990. "Prediction In Dynamic Models With Time Dependent Conditional Variances," Papers 8815, Michigan State - Econometrics and Economic Theory.

    Cited by:

    1. Madhusudan Karmakar, 2007. "Asymmetric Volatility and Risk-return Relationship in the Indian Stock Market," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 8(1), pages 99-116, January.
    2. Wai Yan Cheng & Michael Chak Sham Wong & Clement Yuk Pang Wong, 2003. "Market risk management of banks: implications from the accuracy of Value-at-Risk forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 23-33.
    3. Oscar Jorda & Massimiliano Marcellino, 2008. "Path Forecast Evaluation," Working Papers 131, University of California, Davis, Department of Economics.
    4. Pierre Rostan & Alexandra Rostan, 2023. "The benefit of the Covid‐19 pandemic on global temperature projections," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2079-2098, December.
    5. Su, Jung-Bin & Lee, Ming-Chih & Chiu, Chien-Liang, 2014. "Why does skewness and the fat-tail effect influence value-at-risk estimates? Evidence from alternative capital markets," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 59-85.
    6. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    7. Reeves, Jonathan J., 2005. "Bootstrap prediction intervals for ARCH models," International Journal of Forecasting, Elsevier, vol. 21(2), pages 237-248.
    8. Christian Francq & Jean-Michel Zakoïan, 2013. "Optimal predictions of powers of conditionally heteroscedastic processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(2), pages 345-367, March.
    9. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    10. Storti, G., 2006. "Minimum distance estimation of GARCH(1,1) models," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1803-1821, December.
    11. Christian Dunis & Jason Laws & Stephane Chauvin, 2003. "FX volatility forecasts and the informational content of market data for volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 242-272.
    12. Amir Safari & Detlef Seese, 2010. "Behavior of realized volatility and correlation in exchange markets," International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 73-96, September.
    13. Michael P. Clements & Ana Beatriz Galvão, 2014. "Measuring Macroeconomic Uncertainty: US Inflation and Output Growth," ICMA Centre Discussion Papers in Finance icma-dp2014-04, Henley Business School, University of Reading.
    14. Tolis, Athanasios I. & Rentizelas, Athanasios A. & Tatsiopoulos, Ilias P., 2010. "Time-dependent opportunities in energy business: A comparative study of locally available renewable and conventional fuels," Renewable and Sustainable Energy Reviews, Elsevier, vol. 14(1), pages 384-393, January.
    15. Abadir, Karim M. & Luati, Alessandra & Paruolo, Paolo, 2023. "GARCH density and functional forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 470-483.
    16. Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020. "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers 356, Department of Economics - University of Zurich, revised Jan 2022.
    17. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
    18. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística.
    19. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    20. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
    21. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
    22. Anthony J. Lawrance, 2010. "Volatile ARMA Modelling of GARCH Squares," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 2(3), pages 195-203, June.
    23. George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2010. "Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence," NBER Working Papers 16302, National Bureau of Economic Research, Inc.
    24. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-079, New York University, Leonard N. Stern School of Business-.
    25. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
    26. Bauwens Luc & Storti Giuseppe, 2009. "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-33, May.
    27. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707.
    28. Palmitesta Paola & Provasi Corrado, 2004. "GARCH-type Models with Generalized Secant Hyperbolic Innovations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-19, May.
    29. Zhang, Xiaolong, 2007. "Inventory control under temporal demand heteroscedasticity," European Journal of Operational Research, Elsevier, vol. 182(1), pages 127-144, October.
    30. Brian H. Boyer & Michael S. Gibson, 1997. "Evaluating forecasts of correlation using option pricing," International Finance Discussion Papers 600, Board of Governors of the Federal Reserve System (U.S.).
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    Cited by:

    1. Nandini Srivastava & Stephen Satchell, 2012. "Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable," Birkbeck Working Papers in Economics and Finance 1209, Birkbeck, Department of Economics, Mathematics & Statistics.

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    Cited by:

    1. DeGennaro, Ramon P. & Shrieves, Ronald E., 1997. "Public information releases, private information arrival and volatility in the foreign exchange market," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 295-315, December.
    2. Kai-Li Wang & Christopher Fawson & Christopher B. Barrett & James B. McDonald, 2001. "A flexible parametric GARCH model with an application to exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 521-536.
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    4. Elyasiani, Elyas & Mansur, Iqbal & Odusami, Babatunde, 2011. "Oil price shocks and industry stock returns," Energy Economics, Elsevier, vol. 33(5), pages 966-974, September.
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  20. Baillie, R.T., 1988. "Econometric Tests Of Rationality And Market Efficiency," Papers 8805, Michigan State - Econometrics and Economic Theory.

    Cited by:

    1. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, University Library of Munich, Germany.
    2. Raj Aggarwal & Sijing Zong, 2008. "Behavioral Biases in Forward Rates as Forecasts of Future Exchange Rates: Evidence of Systematic Pessimism and Under-Reaction," Multinational Finance Journal, Multinational Finance Journal, vol. 12(3-4), pages 241-277, September.
    3. Dimitris Kenourgios, 2005. "Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market," Finance 0512015, University Library of Munich, Germany.
    4. Blix, Mårten, 1997. "Rational Expectations in a VAR with Markov Switching," Seminar Papers 627, Stockholm University, Institute for International Economic Studies.
    5. Napolitano, Oreste, 2000. "The efficiency hypothesis and the role of ‘news’ in the Euro/British pound exchange rate market: an empirical analysis using daily data," ISER Working Paper Series 2000-30, Institute for Social and Economic Research.
    6. Søren Johansen & Anders Rygh Swensen, 2003. "More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms," Discussion Papers 348, Statistics Norway, Research Department.
    7. Stephen Hall & Anna Zelweska-Mitura, "undated". "Modelling Emerging Financial Markets and their Approach to Market Efficiency," Computing in Economics and Finance 1996 _066, Society for Computational Economics.
    8. Pinar Ozlu, 2006. "Risk Premium and Central Bank Intervention," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(1), pages 65-79.

Articles

  1. Baillie, Richard T. & Kilic, Rehim, 2006. "Do asymmetric and nonlinear adjustments explain the forward premium anomaly?," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 22-47, February.

    Cited by:

    1. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo.
    2. Ramirez-Rondan, N.R. & Terrones, Marco E., 2019. "Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?," MPRA Paper 97524, University Library of Munich, Germany.
    3. Lothian, James R., 2016. "Uncovered interest parity: The long and the short of it," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 1-7.
    4. Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim, 2022. "A New Test forMarket Efficiency and Uncovered Interest Parity," PIER Working Paper Archive 22-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    5. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    6. Baillie, Richard T. & Cho, Dooyeon, 2014. "Time variation in the standard forward premium regression: Some new models and tests," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 52-63.
    7. Michael Jetter & Alex Nikolsko-Rzhevskyy & Olena Ogrokhina, 2019. "Can policy shifts explain the forward discount puzzle?," Empirical Economics, Springer, vol. 57(6), pages 1891-1909, December.
    8. Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Caspar, 2022. "The Term Structure of Currency Futures' Risk Premia," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 54(1), pages 5-38.
    9. Cho, Dooyeon, 2015. "The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 229-238.
    10. Shehadeh, Ali A. & Li, Youwei & Vigne, Samuel A. & Almaharmeh, Mohammad I. & Wang, Yizhi, 2021. "The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies," International Review of Financial Analysis, Elsevier, vol. 78(C).
    11. Muhammad Omer & Jakob de Haan & Bert Scholtens, 2019. "Does Uncovered Interest Rate Parity Hold After All?," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 24(2), pages 49-72, July-Dec.
    12. Kumar, Vikram, 2020. "Liquidity shocks: A new solution to the forward premium puzzle," Economic Modelling, Elsevier, vol. 91(C), pages 445-454.
    13. Beckmann, Joscha & Belke, Ansgar & Dreger, Christian, 2015. "The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule," CEPS Papers 10029, Centre for European Policy Studies.
    14. Li, Dandan & Ghoshray, Atanu & Morley, Bruce, 2013. "An empirical study of nonlinear adjustment in the UIP model using a smooth transition regression model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 109-120.
    15. Diana Zigraiova & Tomas Havranek & Jiri Novak, 2020. "How puzzling is the forward premium puzzle? A meta-analysis," Working Papers 46, European Stability Mechanism.
    16. Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2018. "Estimating a Latent Risk Premium in Exchange Rate Futures," Discussion Papers of DIW Berlin 1733, DIW Berlin, German Institute for Economic Research.
    17. Cho, Dooyeon, 2018. "On the persistence of the forward premium in the joint presence of nonlinearity, asymmetry, and structural changes," Economic Modelling, Elsevier, vol. 70(C), pages 310-319.
    18. Richard T., Baillie, 2011. "Possible solutions to the forward bias paradox," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 617-622, October.
    19. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2024. "The forward premium anomaly and the currency carry trade hypothesis," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 203-218.
    20. McMillan, David G., 2009. "Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 258-273, April.
    21. Richard T. Baillie & Dooyeon Cho, 2014. "When Carry Trades in Currency Markets are not Profitable," Review of Development Economics, Wiley Blackwell, vol. 18(4), pages 794-803, November.
    22. Jaya Krishnakumar & David Neto, 2012. "Testing Uncovered Interest Rate Parity and Term Structure Using a Three‐regime Threshold Unit Root VECM: An Application to the Swiss ‘Isle’ of Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 180-202, April.
    23. Rehim Kılıç, 2023. "Uncovered interest rate, overshooting, and predictability reversal puzzles in an emerging economy," Finance and Economics Discussion Series 2023-074, Board of Governors of the Federal Reserve System (U.S.).
    24. Daniel L. Thornton, 2007. "Resolving the unbiasedness and forward premium puzzles," Working Papers 2007-014, Federal Reserve Bank of St. Louis.
    25. Öge Güney Pelin, 2018. "Uncovered Interest Rate Parity: The Turkish Evidence," Review of Middle East Economics and Finance, De Gruyter, vol. 14(2), pages 1-11, August.
    26. Baillie, Richard T. & Cho, Dooyeon, 2016. "Assessing Euro crises from a time varying international CAPM approach," Journal of Empirical Finance, Elsevier, vol. 39(PB), pages 197-208.
    27. Ueli Mettler & Markus Thöny & Hansjörg Schmidt, 2010. "Carry and trend strategies in FX markets," Journal of Asset Management, Palgrave Macmillan, vol. 11(5), pages 321-331, December.
    28. Cappiello, Lorenzo & Mehl, Arnaud, 2007. "Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities," Working Paper Series 801, European Central Bank.
    29. Liew, Venus Khim-Sen & Qiao, Zhuo & Wong, Wing-Keung, 2008. "Linearity and stationarity of G7 government bond returns," MPRA Paper 24836, University Library of Munich, Germany, revised 08 Sep 2010.
    30. Beckmann, Joscha, 2011. "Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices," Ruhr Economic Papers 272, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    31. Derek Bond & Michael Harrison & Niall Hession & Edward O'Brien, 2010. "Nonlinearity as an explanation of the forward exchange rate anomaly," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1237-1239.
    32. Baillie, Richard T. & Kim, Kun Ho, 2015. "Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 99-111.
    33. Ayşegül Çorakcı & Furkan Emirmahmutoglu & Tolga Omay, 2017. "Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(1), pages 91-120, February.
    34. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Regime-dependent adjustment in energy spot and futures markets," Economic Modelling, Elsevier, vol. 40(C), pages 400-409.
    35. Daniel L. Thornton, 2009. "Resolving the unbiasedness puzzle in the foreign exchange market," Working Papers 2009-002, Federal Reserve Bank of St. Louis.
    36. Laurent Ferrara & Joseph Yapi, 2020. "Measuring exchange rate risks during periods of uncertainty," CAMA Working Papers 2020-60, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    37. Grossmann, Axel & Lee, Allissa A. & Simpson, Marc W., 2014. "Forward premium anomaly of the British pound and the euro," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 140-156.
    38. Shehadeh, Ali & Li, Youwei & Moore, Michael, 2016. "The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity," MPRA Paper 71709, University Library of Munich, Germany.
    39. Chang, Sanders S., 2013. "Can cross-country portfolio rebalancing give rise to forward bias in FX markets?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1079-1096.
    40. Nath, Golaka, 2013. "The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis," MPRA Paper 51591, University Library of Munich, Germany.
    41. Baillie, Richard T. & Chang, Sanders S., 2011. "Carry trades, momentum trading and the forward premium anomaly," Journal of Financial Markets, Elsevier, vol. 14(3), pages 441-464, August.
    42. Matthieu Bussiere & Menzie D. Chinn & Laurent Ferrara & Jonas Heipertz, 2018. "The New Fama Puzzle," NBER Working Papers 24342, National Bureau of Economic Research, Inc.
      • Matthieu Bussière & Menzie Chinn & Laurent Ferrara & Jonas Heipertz, 2022. "The New Fama Puzzle," Post-Print hal-04459560, HAL.
      • Matthieu Bussière & Menzie Chinn & Laurent Ferrara & Jonas Heipertz, 2022. "The New Fama Puzzle," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(3), pages 451-486, September.
    43. Niango Ange Joseph Yapi, 2020. "Exchange rate predictive densities and currency risks: A quantile regression approach," EconomiX Working Papers 2020-16, University of Paris Nanterre, EconomiX.
    44. Yin-Wong Cheung & Wenhao Wang, 2020. "Uncovered Interest Rate Parity Redux: Non- Uniform Effects," GRU Working Paper Series GRU_2020_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    45. Hall Stephen G. & Kenjegaliev Amangeldi & Swamy P. A. V. B. & Tavlas George S., 2013. "The forward rate premium puzzle: a case of misspecification?1)," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 265-279, May.
    46. Li, Jing & Miller, Norman C., 2015. "Foreign exchange market inefficiency and exchange rate anomalies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 311-320.
    47. Richard T. Baillie & Kun Ho Kim, 2016. "Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VAR Approaches," Working Paper series 16-04, Rimini Centre for Economic Analysis.
    48. Richard T. Baillie & George Kapetanios, 2006. "Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates," Working Papers 570, Queen Mary University of London, School of Economics and Finance.
    49. David Alan Peel & Pantelis Promponas, 2016. "Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K," Working Papers 144439514, Lancaster University Management School, Economics Department.
    50. Charfeddine, Lanouar & Khediri, Karim Ben & Mrabet, Zouhair, 2019. "The forward premium anomaly in the energy futures markets: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 47(C), pages 600-615.
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    52. Pippenger, John, 2011. "A Complete Solution To The Forward-Bias Puzzle," University of California at Santa Barbara, Economics Working Paper Series qt5gq9z4j0, Department of Economics, UC Santa Barbara.
    53. Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981.
    54. Christian Wagner, 2008. "Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets," Working Papers 143, Oesterreichische Nationalbank (Austrian Central Bank).
    55. Baillie, Richard T. & Kapetanios, George, 2008. "Nonlinear models for strongly dependent processes with financial applications," Journal of Econometrics, Elsevier, vol. 147(1), pages 60-71, November.
    56. Sakoulis, Georgios & Zivot, Eric & Choi, Kyongwook, 2010. "Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 957-966, December.
    57. Jorge Andrés Muñoz Mendoza & Carmen Lissette Veloso Ramos & Sandra María Sepúlveda Yelpo & Carlos Leandro Delgado Fuentealba & Edinson Edgardo Cornejo Saavedra, 2022. "Exchange Markets and Stock Markets Integration in Latin-America," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(3), pages 1-24, Julio - S.
    58. Craighead, William D. & Davis, George K. & Miller, Norman C., 2010. "Interest differentials and extreme support for uncovered interest rate parity," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 723-732, October.
    59. Joscha Beckmann, 2013. "Nonlinear Exchange Rate Adjustment and the Monetary Model," Review of International Economics, Wiley Blackwell, vol. 21(4), pages 654-670, September.
    60. Ruoyang Li & Alva Svoboda & Shmuel Oren, 2015. "Efficiency impact of convergence bidding in the california electricity market," Journal of Regulatory Economics, Springer, vol. 48(3), pages 245-284, December.
    61. Miah, Fazlul & Altiti, Omar, 2020. "Risk premium or irrational expectations? An investigation into the causes of forward discount bias across 27 developed and developing economies forward rates," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
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    65. Cho, Dooyeon & Han, Heejoon, 2021. "The tail behavior of safe haven currencies: A cross-quantilogram analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
    66. Amit K. Sinha & Philip A. Horvath & Robert C. Scott, 2017. "The real miss-specification in the forward rate premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 463-473, July.
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    71. Adewuyi, Adeolu O. & Ogebe, Joseph O., 2019. "The validity of uncovered interest parity: Evidence from african members and non-member of the organisation of petroleum exporting countries (OPEC)," Economic Modelling, Elsevier, vol. 82(C), pages 229-249.
    72. Junttila, Juha & Korhonen, Marko, 2011. "Nonlinearity and time-variation in the monetary model of exchange rates," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 288-302, June.

  2. Baillie, Richard T. & Cecen, Aydin A. & Erkal, Cahit & Han, Young-Wook, 2004. "Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 401-418, December.

    Cited by:

    1. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich.
    2. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
    3. Kumar, Dilip, 2014. "Long range dependence in the high frequency USD/INR exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 134-148.
    4. Tabak, Benjamin M. & Cajueiro, Daniel O., 2006. "Assessing inefficiency in euro bilateral exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 319-327.
    5. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
    6. Young Wook Han, 2010. "The Effects of US Macroeconomic Surprises on the Intraday Movements of Foreign Exchange Rates: Cases of USD-EUR and USD-JPY Exchange Rates," International Economic Journal, Taylor & Francis Journals, vol. 24(3), pages 375-396.
    7. Anagnostidis, Panagiotis & Emmanouilides, Christos J., 2015. "Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 473-487.

  3. Baillie, Richard T. & Chung, Sang-Kuck, 2002. "Modeling and forecasting from trend-stationary long memory models with applications to climatology," International Journal of Forecasting, Elsevier, vol. 18(2), pages 215-226.

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    1. C. Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2024. "Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity," Papers 2406.14145, arXiv.org.
    2. Yoosoon Chang & Robert K. Kaufmann & Chang Sik Kim & J. Isaac Miller & Joon Y. Park & Sungkeun Park, 2015. "Time Series Analysis of Global Temperature Distributions: Identifying and Estimating Persistent Features in Temperature Anomalies," Working Papers 1513, Department of Economics, University of Missouri, revised 25 Jul 2016.
    3. Richard T. Baillie & George Kapetanios & Fotis Papailias, 2017. "Inference for impulse response coefficients from multivariate fractionally integrated processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 60-84, March.
    4. Claudio Morana & Giacomo Sbrana, 2017. "Temperature Anomalies, Radiative Forcing and ENSO," Working Papers 2017.09, Fondazione Eni Enrico Mattei.
    5. Claudio Morana & Giacomo Sbrana, 2018. "Some financial implications of global warming: An empirical assessment," Working Paper series 18-09, Rimini Centre for Economic Analysis.
    6. N. H. Chan & A. E. Brockwell, 2006. "Long-memory dynamic Tobit models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 351-367.
    7. Yoosoon Chang & Robert K. Kaufmann & Chang Sik Kim & J. Isaac Miller & Joon Y. Park & Sungkeun Park, 2016. "Evaluating trends in time series of distributions: A spatial fingerprint of human effects on climate," Working Papers 1622, Department of Economics, University of Missouri, revised 17 Sep 2018.
    8. Gilles Dufrénot & William Ginn & Marc Pourroy, 2021. "The Effect of ENSO Shocks on Commodity Prices: A Multi-Time Scale Approach," AMSE Working Papers 2130, Aix-Marseille School of Economics, France.
    9. J. Eduardo Vera-Valdés, 2021. "Temperature Anomalies, Long Memory, and Aggregation," Econometrics, MDPI, vol. 9(1), pages 1-22, March.
    10. Luis A. Gil-Alana & Laura Sauci, 2019. "Temperatures across Europe: evidence of time trends," Climatic Change, Springer, vol. 157(3), pages 355-364, December.
    11. Abdul Aziz Karia & Imbarine Bujang & Ismail Ahmad, 2013. "Fractionally integrated ARMA for crude palm oil prices prediction: case of potentially overdifference," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(12), pages 2735-2748, December.
    12. Rea, William & Reale, Marco & Brown, Jennifer & Oxley, Les, 2011. "Long memory or shifting means in geophysical time series?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1441-1453.
    13. Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics 08/13, University of Canterbury, Department of Economics and Finance.
    14. Federico Maddanu, 2023. "Forecasting highly persistent time series with bounded spectrum processes," Statistical Papers, Springer, vol. 64(1), pages 285-319, February.
    15. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    16. González-Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir, 2023. "Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula," DES - Working Papers. Statistics and Econometrics. WS 37968, Universidad Carlos III de Madrid. Departamento de Estadística.
    17. Morana, Claudio & Sbrana, Giacomo, 2019. "Climate change implications for the catastrophe bonds market: An empirical analysis," Economic Modelling, Elsevier, vol. 81(C), pages 274-294.
    18. John K. Dagsvik & Mariachiara Fortuna & Sigmund Hov Moen, 2020. "How does temperature vary over time?: evidence on the stationary and fractal nature of temperature fluctuations," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 883-908, June.
    19. Contreras-Reyes, Javier E., 2022. "Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
    20. Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.
    21. William Rea & Marco Reale & Jennifer Brown, 2011. "Long memory in temperature reconstructions," Climatic Change, Springer, vol. 107(3), pages 247-265, August.
    22. Vasco J.Gabriel & Luis F. Martins & Anthoulla Phella, 2021. "Modelling Low-Frequency Covariability of Paleoclimatic Data," Working Papers 2022_17, Business School - Economics, University of Glasgow.
    23. Shah, Said Zamin & Baharumshah, Ahmad Zubaidi & Hook, Law Siong & Habibullah, Muzafar Shah, 2017. "Nominal uncertainty, real uncertainty and macroeconomic performance in a time-varying asymmetric framework: Implications for monetary policy," Research in International Business and Finance, Elsevier, vol. 42(C), pages 75-93.
    24. S. D. Grose & D. S. Poskitt, 2006. "The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes," Monash Econometrics and Business Statistics Working Papers 15/06, Monash University, Department of Econometrics and Business Statistics.
    25. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    26. Tripathy, Naliniprava, 2022. "Long memory and volatility persistence across BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
    27. Yuanhua Feng & Jan Beran & Sebastian Letmathe, 2021. "An extended exponential SEMIFAR model with application in R," Working Papers CIE 145, Paderborn University, CIE Center for International Economics.
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    29. Terence C. Mills, 2007. "Time series modelling of two millennia of northern hemisphere temperatures: long memory or shifting trends?," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 170(1), pages 83-94, January.

  4. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.

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    4. Dreyer, H., 2013. "Was erklärt den Außenhandel der deutschen Agrar- und Ernährungswirtschaft? Eine ökonometrische Analyse auf Basis des Gravitationsmodells," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 48, March.
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  6. Baillie, Richard T & Han, Young-Wook, 2001. "Testing Target-Zone Models Using Efficient Method of Moments: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 273-276, July.

    Cited by:

    1. John M. Maheu & Thomas McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.

  7. Baillie, Richard T., 2000. "Central bank intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 225-228, December.

    Cited by:

    1. Dimitrios A. Sideris, 2007. "Foreign Exchange Intervention and Equilibrium Real Exchange Rates," Working Papers 56, Bank of Greece.
    2. Michel Beine & Ariane Szafarz, 2003. "The design of effective Central Bank interventions: the yen/dollar case," Working Papers CEB 03-008.RS, ULB -- Universite Libre de Bruxelles.

  8. Baillie, Richard T. & Humpage, Owen F. & Osterberg, William P., 2000. "Intervention from an information perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 407-421, December.

    Cited by:

    1. Michel Beine & Agnes Bénassy-Quéré & Ronald MacDonald, 2007. "The impact of Central Bank intervention on exchange rate forecasts heterogeneity," ULB Institutional Repository 2013/10423, ULB -- Universite Libre de Bruxelles.
    2. Humpage, Owen F. & Ragnartz, Javiera, 2006. "Swedish Intervention and the Krona Float, 1993-2002," Working Paper Series 192, Sveriges Riksbank (Central Bank of Sweden).
    3. Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February.
    4. Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.
    5. Michel Beine, 2004. "Conditional covariance and direct Central Bank intervention in the foreign exchange markets," ULB Institutional Repository 2013/10431, ULB -- Universite Libre de Bruxelles.
    6. Chen, Yu-Fu & Funke, Michael & Glanemann, Nicole, 2011. "The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate," SIRE Discussion Papers 2011-66, Scottish Institute for Research in Economics (SIRE).
    7. Rasmus Fatum & Michael M. Hutchison, "undated". "ECB Foreign Exchange Intervention and the Euro: Institutional Framework, News and Intervention," EPRU Working Paper Series 02-10, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    8. Paolo Vitale, 2007. "An assessment of some open issues in the analysis of foreign exchange intervention," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 155-170.
    9. Alain P. Chaboud & Owen F. Humpage, 2005. "An assessment of the impact of Japanese foreign exchange intervention: 1991-2004," International Finance Discussion Papers 824, Board of Governors of the Federal Reserve System (U.S.).
    10. Christelle Lecourt & Helene Raymond, 2006. "Central bank interventions in industrialized countries: a characterization based on survey results," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 123-138.
    11. Michel Beine & Sébastien Laurent & Franz Palm, 2007. "Central bank intervention in the foreign exchange markets assessed using realized moments," ULB Institutional Repository 2013/10407, ULB -- Universite Libre de Bruxelles.
    12. Lukas Menkhoff, 2008. "High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?," CESifo Working Paper Series 2473, CESifo.
    13. Owen F. Humpage, 2003. "Government intervention in the foreign exchange market," Working Papers (Old Series) 0315, Federal Reserve Bank of Cleveland.
    14. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    15. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2014. "The Evolution of the Federal Reserve Swap Lines since 1962," NBER Working Papers 20755, National Bureau of Economic Research, Inc.
    16. Becksndale Masawi & Sukanto Bhattacharya & Terry Boulter, 2018. "Does the Information Content of Central Bank Speeches Impact on the Level of Exchange Rate? A Comparative Study of Canadian and Australian Central Bank Communications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-27, March.
    17. Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2006. "The transparency of the ECB policy: What can we learn from its foreign exchange market interventions?," Journal of Policy Modeling, Elsevier, vol. 28(2), pages 141-156, February.
    18. Áron Gereben & György Gyomai & Norbert Kiss M., 2005. "The microstructure approach to exchange rates: a survey from a central bank’s viewpoint," MNB Occasional Papers 2005/42, Magyar Nemzeti Bank (Central Bank of Hungary).
    19. Scalia, Antonio, 2008. "Is foreign exchange intervention effective? Some microanalytical evidence from the Czech Republic," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 529-546, June.
    20. Michel Beine & Ariane Szafarz, 2006. "Size matters: Central bank interventions on the Yen/Dollar exchange rate," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 49(1), pages 5-20.
    21. Chang, Mei-Ching & Suardi, Sandy & Chang, Yuanchen, 2017. "Foreign exchange intervention in Asian countries: What determine the odds of success during the credit crisis?," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 370-390.
    22. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2011. "The Federal Reserve as an informed foreign-exchange trader: 1973-1995," Working Papers (Old Series) 1118, Federal Reserve Bank of Cleveland.
    23. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2009. "A brief empirical history of U.S. foreign-exchange intervention: 1973-1995," Working Papers (Old Series) 0903, Federal Reserve Bank of Cleveland.
    24. Gnabo, Jean-Yves & Laurent, Sébastien & Lecourt, Christelle, 2009. "Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 94-111, February.
    25. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2011. "On the evolution of U.S. foreign-exchange-market intervention: thesis, theory, and institutions," Working Papers (Old Series) 1113, Federal Reserve Bank of Cleveland.
    26. M. Frenkel & C. Pierdzionc & G. Stadtmann, 2001. "The foreign exchange market interventions of the European Central Bank," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 54(218), pages 249-287.
    27. Vitale, Paolo, 2006. "A Critical Appraisal of Recent Developments in the Analysis of Foreign Exchange Intervention," CEPR Discussion Papers 5729, C.E.P.R. Discussion Papers.
    28. Michael M. Hutchison, 2003. "Intervention and Exchange Rate Stabilization Policy in Developing Countries," International Finance, Wiley Blackwell, vol. 6(1), pages 109-127, March.
    29. Ben R. Craig & Owen F. Humpage, 2001. "Sterilized intervention, nonsterilized intervention, and monetary policy," Working Papers (Old Series) 0110, Federal Reserve Bank of Cleveland.
    30. Pippenger, John, 2003. "Modeling foreign exchange intervention: stock versus stock adjustment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 137-156, April.
    31. Michael Frenkel & Christian Pierdzioch & Georg Stadtmann, 2002. "Devisenmarktoperationen und Informationspolitik der Europäischen Zentralbank," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 3(1), pages 49-68, February.
    32. Conlon, Thomas & Corbet, Shaen & Hou, Yang (Greg), 2024. "Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    33. Laakkonen, Helinä, 2004. "The impact of macroeconomic news on exchange rate volatility," Bank of Finland Research Discussion Papers 24/2004, Bank of Finland.
    34. M. Frenkel & C. Pierdzionc & G. Stadtmann, 2001. "The foreign exchange market interventions of the European Central Bank," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 54(218), pages 249-287.
    35. Pinar Ozlu, 2006. "Risk Premium and Central Bank Intervention," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(1), pages 65-79.
    36. Michel Beine & Ariane Szafarz, 2003. "The design of effective Central Bank interventions: the yen/dollar case," Working Papers CEB 03-008.RS, ULB -- Universite Libre de Bruxelles.

  9. Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.

    Cited by:

    1. Giorgio Valente & Mr. Gene L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 2006/136, International Monetary Fund.
    2. Keith Pilbeam & Jose Olmo, 2011. "The forward discount puzzle and market efficiency," Annals of Finance, Springer, vol. 7(1), pages 119-135, February.
    3. Geert Bekaert & Robert J. Hodrick, 2000. "Expectations Hypotheses Tests," NBER Working Papers 7609, National Bureau of Economic Research, Inc.
    4. Lee, Byung-Joo, 2007. "Uncovered Interest Parity: Cross-sectional Evidence," MPRA Paper 10360, University Library of Munich, Germany.
    5. Alfred Guender & Bevan Cook, 2010. "Monetary policy implementation and uncovered interest parity: empirical evidence from Oceania," Working Papers in Economics 10/71, University of Canterbury, Department of Economics and Finance.
    6. Lothian, James R., 2016. "Uncovered interest parity: The long and the short of it," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 1-7.
    7. Zhou, Su & Kutan, Ali M., 2005. "Does the forward premium anomaly depend on the sample period used or on the sign of the premium?," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 17-25.
    8. Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
    9. Antonio Diez de los Rios & Enrique Sentana, 2011. "Testing Uncovered Interest Parity: A Continuous‐Time Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 1215-1251, November.
    10. Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
    11. Min-woo Kang, 2019. "Currency Market Efficiency Revisited: Evidence from Korea," IJFS, MDPI, vol. 7(3), pages 1-17, September.
    12. Mun, Kyung-Chun & Morgan, George Emir, 2003. "Risk premia on foreign exchange: a direct approach," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 231-250, July.
    13. Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
    14. Kutan, Ali M. & Zhou, Su, 2002. "Has the link between the spot and forward exchange rates broken down? Evidence from rolling cointegration tests," ZEI Working Papers B 08-2002, University of Bonn, ZEI - Center for European Integration Studies.
    15. Rohit Vishal Kumar & Dhekra Azouzi, 2011. "Tunisian and Indian Forex Markets: A Comparision on Forward Rate Unbiased Hypothesis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 81-98, June.
    16. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    17. Liu, Wei & Maynard, Alex, 2005. "Testing forward rate unbiasedness allowing for persistent regressors," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 613-628, December.
    18. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001. "Peso problem explanations for term structure anomalies," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
    19. Baillie, Richard T. & Cho, Dooyeon, 2014. "Time variation in the standard forward premium regression: Some new models and tests," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 52-63.
    20. Vipul Bhatt & Arvind Virmani, 2005. "Global integration of India's Money Market : Interest rate parity in India," Indian Council for Research on International Economic Relations, New Delhi Working Papers 164, Indian Council for Research on International Economic Relations, New Delhi, India.
    21. Ozgur Aslan & H. Levent Korap, 2010. "Does the uncovered interest parity hold in short horizons?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(4), pages 361-365.
    22. Karim M. Abadir & Gabriel Talmain, 2008. "Macro and Financial Markets: The Memory of an Elephant?," Working Paper series 17_08, Rimini Centre for Economic Analysis.
    23. Gilles de Truchis & Florent Dubois, 2014. "Unbalanced Fractional Cointegration and the No-Arbitrage Condition on Commodity Markets," AMSE Working Papers 1445, Aix-Marseille School of Economics, France.
    24. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
    25. Shehadeh, Ali A. & Li, Youwei & Vigne, Samuel A. & Almaharmeh, Mohammad I. & Wang, Yizhi, 2021. "The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies," International Review of Financial Analysis, Elsevier, vol. 78(C).
    26. Young-Kyu Moh, 2006. "Continuous-time model of uncovered interest parity with regulated jump-diffusion interest differential," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2523-2533.
    27. Muhammad Omer & Jakob de Haan & Bert Scholtens, 2019. "Does Uncovered Interest Rate Parity Hold After All?," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 24(2), pages 49-72, July-Dec.
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    29. Wajid Shakeel Ahmed & Shoaib Khattak & Ijlal Ahmed, 2023. "Do forward premium rates predict the spot rates? Comparison of developed and emerging economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2178-2187, April.
    30. Coulibaly, Dramane & Kempf, Hubert, 2019. "Inflation targeting and the forward bias puzzle in emerging countries," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 19-33.
    31. Alex Maynard, 2003. "Testing for Forward-Rate Unbiasedness: On Regression in Levels and in Returns," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 313-327, May.
    32. Simpson, Marc W. & Ramchander, Sanjay & Chaudhry, Mukesh, 2005. "The impact of macroeconomic surprises on spot and forward foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 693-718, September.
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    35. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI), Brussels.
    36. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    37. Alex Luiz Ferreira, 2004. "Leaning Against the Parity," Studies in Economics 0413, School of Economics, University of Kent.
    38. Choi, Kyongwook & Zivot, Eric, 2007. "Long memory and structural changes in the forward discount: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 342-363, April.
    39. Campbell, John Y & Viceira, Luis & White, Josh S., 2002. "Foreign Currency for Long-Term Investors," CEPR Discussion Papers 3463, C.E.P.R. Discussion Papers.
    40. Daniel L. Thornton, 2004. "Tests of the expectations hypothesis: resolving the Campbell-Shiller paradox," Working Papers 2003-022, Federal Reserve Bank of St. Louis.
    41. Lothian, James R. & Koedijk, Kees & Mahieu, Ronald & Campbell, Rachel, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers 6294, C.E.P.R. Discussion Papers.
    42. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
    43. Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
    44. Kumar, Vikram, 2020. "Liquidity shocks: A new solution to the forward premium puzzle," Economic Modelling, Elsevier, vol. 91(C), pages 445-454.
    45. Londono, Juan M. & Zhou, Hao, 2017. "Variance risk premiums and the forward premium puzzle," Journal of Financial Economics, Elsevier, vol. 124(2), pages 415-440.
    46. Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.
    47. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
    48. Diego Alonso Agudelo Rueda & Mónica Arango Arango, 2008. "La curva de rendimientos a plazo y las expectativas de tasas de interes en el mercado de renta fija en colombia 2002-2007," Documentos de Trabajo de Valor Público 10650, Universidad EAFIT.
    49. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
    50. Forti Grazzini, Caterina & Rieth, Malte, 2017. "Interest Rates and Exchange Rates in Normal and Crisis Times," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168281, Verein für Socialpolitik / German Economic Association.
    51. Alex Maynard & Peter C. B. Phillips, 2001. "Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 671-708.
    52. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, Department of Economics and Business Economics, Aarhus University.
    53. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2022. "Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 694-715.
    54. Bond, Derek & Harrison, Michael J & O’Brien, Edward J., 2006. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Research Technical Papers 2/RT/06, Central Bank of Ireland.
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    64. Hollifield, Burton & Yaron, Amir, 2001. "The Foreign Exchange Risk Premium: Real and Nominal Factors," Working Papers 01-1, University of Pennsylvania, Wharton School, Weiss Center.
    65. Richard T. Baillie & Dooyeon Cho, 2014. "When Carry Trades in Currency Markets are not Profitable," Review of Development Economics, Wiley Blackwell, vol. 18(4), pages 794-803, November.
    66. Wolff, Christian & Bams, Dennis & Walkowiak, Kim, 2003. "More Evidence on the Dollar Risk Premium in the Foreign Exchange Market," CEPR Discussion Papers 3726, C.E.P.R. Discussion Papers.
    67. Shu Wu, 2007. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 423-442, March.
    68. Azzam, Islam & El-Masry, Ahmed A. & Yamani, Ehab, 2023. "Foreign exchange market efficiency during COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 717-730.
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    70. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
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  10. Baillie, Richard T. & Osterberg, William P., 2000. "Deviations from daily uncovered interest rate parity and the role of intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 363-379, December.

    Cited by:

    1. Pippenger, John, 2017. "Forward Bias, The Failure Of Uncovered Interest Parity And Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt2ff194s2, Department of Economics, UC Santa Barbara.
    2. Charles Goodhart & Lavan Mahadeva & John Spicer, 2003. "Monetary policy's effects during the financial crises in Brazil and Korea," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 55-79.
    3. Young-Kyu Moh, 2006. "Continuous-time model of uncovered interest parity with regulated jump-diffusion interest differential," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2523-2533.
    4. Ferreira, Paulo & Kristoufek, Ladislav, 2020. "Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
    5. Eria Hisali, 2012. "The Efficacy Of Central Bank Intervention On The Foreign Exchange Market: Uganda'S Experience," Journal of International Development, John Wiley & Sons, Ltd., vol. 24(2), pages 185-207, March.
    6. Javier Garcia-Cicco, 2011. "On the Quantitative Effects of Unconventional Monetry Policies in Small Open Economies," International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 53-115, March.
    7. Han, Young Wook, 2007. "High frequency perspective on jump process, long memory property and temporal aggregation: Case of $-AUD exchange rates," Japan and the World Economy, Elsevier, vol. 19(2), pages 248-262, March.
    8. Jun, Jongbyung, 2008. "Friction model and foreign exchange market intervention," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 477-489.
    9. Pippenger, John, 2018. "Forward Bias, Uncovered Interest Parity And Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt1778z416, Department of Economics, UC Santa Barbara.
    10. Young-Kyu Moh & Nelson C. Mark, 2004. "Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market," Econometric Society 2004 Far Eastern Meetings 762, Econometric Society.
    11. Juan Ángel Lafuente & Jesús Ruiz, 2002. "Time-Varying forward Bias and the Volatility of Risk Premium: a Monetary Explanation," Documentos de Trabajo del ICAE 0214, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    12. Pérez, Rafaela & Ruiz, Jesús & Lafuente Luengo, Juan Ángel, 2012. "Monetary policy regimes and the forward bias for foreign exchange," DEE - Working Papers. Business Economics. WB 12960, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    13. Zura Kakushadze & Willie Yu, 2019. "iCurrency?," Papers 1911.01272, arXiv.org, revised Nov 2019.
    14. Sweeney, Richard J., 2007. "Fed intervention, dollar appreciation, and systematic risk," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 167-192, March.
    15. Ms. Jayasri Dutta, 2002. "Dread of Depreciation: Measuring Real Exchange Rate Interventions," IMF Working Papers 2002/063, International Monetary Fund.
    16. Mark, Nelson C. & Moh, Young-Kyu, 2007. "Official interventions and the forward premium anomaly," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 499-522, September.
    17. Chen, Ho-Chyuan & Chang, Kuang-Liang & Yu, Shih-Ti, 2012. "Application of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions," Japan and the World Economy, Elsevier, vol. 24(4), pages 274-282.
    18. Ana Maria Herrera & Pinar Ozbay, 2005. "A Dynamic Model of Central Bank Intervention," Working Papers 0501, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    19. Matthias Bauer & Martin Zenker, 2012. "Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate," Global Financial Markets Working Paper Series 2012-32, Friedrich-Schiller-University Jena.
    20. Lafuente, Juan Angel & Ruiz, Jesus, 2006. "Monetary policy and forward bias for foreign exchange revisited: Empirical evidence from the US-UK exchange rate," Economic Modelling, Elsevier, vol. 23(2), pages 238-264, March.
    21. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, June.
    22. Pippenger, John, 2003. "Modeling foreign exchange intervention: stock versus stock adjustment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 137-156, April.
    23. Alain P. Chaboud & Jonathan H. Wright, 2003. "Uncovered interest parity: it works, but not for long," International Finance Discussion Papers 752, Board of Governors of the Federal Reserve System (U.S.).
    24. Nelson C. Mark & Young-Kyu Moh, 2005. "The real exchange rate and real interest differentials: the role of nonlinearities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 323-335.

  11. Baillie, Richard T, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 273-276, July.

    Cited by:

    1. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
    2. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    3. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," ERC Working Papers 1105, ERC - Economic Research Center, Middle East Technical University, revised Oct 2011.
    4. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.

  12. Baillie, Richard T. & Osterberg, William P., 1997. "Why do central banks intervene?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 909-919, December.

    Cited by:

    1. Michel Beine & Oscar Bernal & Jean-Yves Gnabo & Christelle Lecourt, 2007. "Intervention Policy of the BoJ: a Unified Approach," LSF Research Working Paper Series 07-19, Luxembourg School of Finance, University of Luxembourg.
    2. Alejandro Rojas-Bernal & Mauricio Villamizar-Villegas, 2021. "Pricing the exotic: Path-dependent American options with stochastic barriers," Borradores de Economia 1156, Banco de la Republica de Colombia.
    3. Peter Andersen & Suk-Joong Kim, 2018. "Intraday Timing of AUD Intervention by the Reserve Bank of Australia: Evidence from Microstructural Analyses," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 2, pages 43-71, World Scientific Publishing Co. Pte. Ltd..
    4. Michael Frenkel & Christian Pierdzioch & Georg Stadtmann, 2004. "On the determinants of “small” and “large” foreign exchange market interventions: The case of the Japanese interventions in the 1990s," Review of Financial Economics, John Wiley & Sons, vol. 13(3), pages 231-243.
    5. Michel Beine & Agnes Bénassy-Quéré & Ronald MacDonald, 2007. "The impact of Central Bank intervention on exchange rate forecasts heterogeneity," ULB Institutional Repository 2013/10423, ULB -- Universite Libre de Bruxelles.
    6. Kim, Suk-Joong & Sheen, Jeffrey, 1998. "International Linkages and Macroeconomic News Effects on Interest Rate Volatility - Australia and the US'," Working Papers 11, University of Sydney, School of Economics.
    7. Kim, Suk-Joong & Sheen, Jeffrey, 2002. "The determinants of foreign exchange intervention by central banks: evidence from Australia," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 619-649, October.
    8. Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2003. "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," European Economic Review, Elsevier, vol. 47(5), pages 891-911, October.
    9. Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2008. "The impact of FX Central Bank Intervention in a Noise Trading Framework," DEM Discussion Paper Series 08-15, Department of Economics at the University of Luxembourg.
    10. Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2009. "Impacto de las Intervenciones Cambiarias sobre el Nivel y la Volatilidad de la Tasa de Cambio en Colombia," Borradores de Economia 5509, Banco de la Republica.
    11. Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February.
    12. Hans DEWACHTER & Deniz ERDEMLIOGLU & Jean-Yves GNABO & Christelle LECOURT, 2013. "The intra-day impact of communication on euro-dollar volatility and jumps," Working Papers of Department of Economics, Leuven ces13.04, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    13. Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.
    14. Horvath, Roman, 2006. "Modelling Central Bank Intervention Activity under Inflation Targeting," MPRA Paper 914, University Library of Munich, Germany.
    15. Koji Kubo, 2017. "Impacts of Foreign Exchange Auctions on the Informal Market Rate in Myanmar," Global Economic Review, Taylor & Francis Journals, vol. 46(2), pages 189-202, April.
    16. Edgar Ventura & Gabriel Rodríguez, 2012. "Explaining The Determinants Of The Frequency Of Exchange Rate Interventions In Peru Using Count Models," Documentos de Trabajo / Working Papers 2012-340, Departamento de Economía - Pontificia Universidad Católica del Perú.
    17. Michel Beine, 2004. "Conditional covariance and direct Central Bank intervention in the foreign exchange markets," ULB Institutional Repository 2013/10431, ULB -- Universite Libre de Bruxelles.
    18. Yasin Kursat Onder & Mauricio Villamizar-Villegas, 2015. "Simultaneous Monetary Policies in the Context of the Trilemma: Evidence from the Central Bank of Turkey," Borradores de Economia 893, Banco de la Republica de Colombia.
    19. Peter Brandner & Harald Grech & Helmut Stix, 2001. "The Effectiveness of Central Bank Intervention in the EMS: The Post 1993 Experience," Working Papers 55, Oesterreichische Nationalbank (Austrian Central Bank).
    20. Jonathan Kearns & Roberto Rigobon, 2003. "Identifying the Efficacy of Central Bank Interventions: Evidence from Australia," RBA Research Discussion Papers rdp2003-04, Reserve Bank of Australia.
    21. Beine, Michel & Laurent, Sebastien, 2003. "Central bank interventions and jumps in double long memory models of daily exchange rates," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 641-660, December.
    22. Vithessonthi, Chaiporn, 2014. "Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 170-194.
    23. Broto, Carmen, 2013. "The effectiveness of forex interventions in four Latin American countries," Emerging Markets Review, Elsevier, vol. 17(C), pages 224-240.
    24. Suk-Joong Kim & Jeffrey Sheen, 2018. "Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 3, pages 73-106, World Scientific Publishing Co. Pte. Ltd..
    25. Morel, Christophe & Teïletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 211-231, March.
    26. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427, Edward Elgar Publishing.
    27. Rasmus Fatum, 2010. "Foreign Exchange Intervention When Interest Rates Are Zero: Does the Portfolio Balance Channel Matter After All?," EPRU Working Paper Series 2010-07, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    28. Gunther Schnabl, 2004. "Weak Economy and Strong Currency - The Origins of the Strong Yen in the 1990s," International Finance 0404017, University Library of Munich, Germany.
    29. Michel Beine & Oscar Bernal Diaz, 2005. "Why do Central Banks intervene secretly? preliminary evidence of the BoJ," DULBEA Working Papers in, ULB -- Universite Libre de Bruxelles.
    30. Rasmus Fatum & Michael M. Hutchison, 2008. "Evaluating Foreign Exchange Market Intervention: Self-selection, Counterfactuals and Average Treatment Effects," Working Papers 022008, Hong Kong Institute for Monetary Research.
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    Cited by:

    1. Michael Frenkel & Christian Pierdzioch & Georg Stadtmann, 2004. "On the determinants of “small” and “large” foreign exchange market interventions: The case of the Japanese interventions in the 1990s," Review of Financial Economics, John Wiley & Sons, vol. 13(3), pages 231-243.
    2. Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim, 2022. "A New Test forMarket Efficiency and Uncovered Interest Parity," PIER Working Paper Archive 22-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    3. Michel Beine & Agnes Bénassy-Quéré & Ronald MacDonald, 2007. "The impact of Central Bank intervention on exchange rate forecasts heterogeneity," ULB Institutional Repository 2013/10423, ULB -- Universite Libre de Bruxelles.
    4. Zhu, Zhen, 2002. "Time-varying forward bias and the expected excess return," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 119-137, April.
    5. Pippenger, John, 2017. "Forward Bias, The Failure Of Uncovered Interest Parity And Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt2ff194s2, Department of Economics, UC Santa Barbara.
    6. Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2003. "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," European Economic Review, Elsevier, vol. 47(5), pages 891-911, October.
    7. Simwaka, Kisu & Mkandawire, Leslie, 2010. "Official intervention in Foreign Exchange Market in Malawi: A comparison of GARCH and Equilibrium Exchange Rate approaches," MPRA Paper 23111, University Library of Munich, Germany.
    8. Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February.
    9. Hall, Yosuke & Kim, Suk-Joong, 2009. "What drives Yen interventions in Tokyo?: Do off-shore foreign exchange markets matter more than Tokyo market?," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 175-188, April.
    10. Jonathan Kearns & Roberto Rigobon, 2002. "Identifying the Efficacy of Central Bank Interventions: The Australian Case," NBER Working Papers 9062, National Bureau of Economic Research, Inc.
    11. Rosita P. Chang & Sang-Hyop Lee & Sean F. Reid & S. Ghon Rhee, 2002. "One-Way Arbitrage-Based Interest Parity," Tinbergen Institute Discussion Papers 02-115/2, Tinbergen Institute.
    12. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
    13. Richard T. Baillie & Young Wook Han, 2019. "Long Memory Volatility, Central Bank Intervention and Uncovered Interest Rate Parity in the 1920s Exchange Markets," Korean Economic Review, Korean Economic Association, vol. 35, pages 183-203.
    14. Peter Brandner & Harald Grech & Helmut Stix, 2001. "The Effectiveness of Central Bank Intervention in the EMS: The Post 1993 Experience," Working Papers 55, Oesterreichische Nationalbank (Austrian Central Bank).
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    17. Beine, Michel & Laurent, Sebastien, 2003. "Central bank interventions and jumps in double long memory models of daily exchange rates," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 641-660, December.
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    20. Eria Hisali, 2012. "The Efficacy Of Central Bank Intervention On The Foreign Exchange Market: Uganda'S Experience," Journal of International Development, John Wiley & Sons, Ltd., vol. 24(2), pages 185-207, March.
    21. Fratzscher, Marcel, 2006. "On the long-term effectiveness of exchange rate communication and interventions," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 146-167, February.
    22. Christelle Lecourt & Helene Raymond, 2006. "Central bank interventions in industrialized countries: a characterization based on survey results," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 123-138.
    23. Alex Maynard & Peter C. B. Phillips, 2001. "Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 671-708.
    24. Yilmaz, Kamil, 2003. "Martingale Property of Exchange Rates and Central Bank Interventions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 383-395, July.
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    26. Dominguez, Kathryn M., 1998. "Central bank intervention and exchange rate volatility1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 161-190, February.
    27. Stefan Reitz, 2005. "Central Bank Intervention and Heterogeneous Exchange Rate Expectations: Evidence from the Daily DEM/US-Dollar Exchange Rate," Open Economies Review, Springer, vol. 16(1), pages 33-50, January.
    28. Baillie, Richard T. & Humpage, Owen F. & Osterberg, William P., 2000. "Intervention from an information perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 407-421, December.
    29. Kim, Suk-Joong, 2007. "Intraday evidence of efficacy of 1991-2004 Yen intervention by the Bank of Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(4), pages 341-360, October.
    30. Peter Brandner & Harald Grech, 2002. "Why did Central Banks Intervene in the EMS? The Post 1993 Experience," Working Papers 77, Oesterreichische Nationalbank (Austrian Central Bank).
    31. Peter Brandner & Harald Grech, 2002. "Why Did Central Banks Intervene in the EMS? The Post-1993 Experience," WIFO Working Papers 192, WIFO.
    32. Ai-ru (Meg) Cheng & Kuntal Das & Takeshi Shimatani, 2013. "Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility," Working Papers in Economics 13/19, University of Canterbury, Department of Economics and Finance.
    33. Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2003. "The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility," Kiel Working Papers 1165, Kiel Institute for the World Economy (IfW Kiel).
    34. Watanabe, Toshiaki & Harada, Kimie, 2006. "Effects of the Bank of Japan's intervention on yen/dollar exchange rate volatility," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 99-111, March.
    35. Pippenger, John, 2018. "Forward Bias, Uncovered Interest Parity And Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt1778z416, Department of Economics, UC Santa Barbara.
    36. Döpke, Jörg & Pierdzioch, Christian, 1999. "What can the ECB learn from Bundesbank interventions? Evidence on the link between exchange rate volatility and interventions," Kiel Working Papers 955, Kiel Institute for the World Economy (IfW Kiel).
    37. Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2008. "Expectativas, tasa de interés y tasa de cambio: paridad cubierta y no cubierta en Colombia, 2000-2007," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 26(56), pages 150-203, June.
    38. Woosik Moon & Yeongseop Rhee, 2006. "Spot and foward market intervention during the 1997 Korean currency crisis," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(238), pages 243-268.
    39. Michel Beine & Agnes Bénassy-Quéré & Christelle Lecourt, 2002. "Central Bank intervention and foreign exchange rates: new evidence from FIGARCH estimations," ULB Institutional Repository 2013/10445, ULB -- Universite Libre de Bruxelles.
    40. Stuart Landon & Constance E. Smith, 2003. "The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen–Dollar Rate," Review of International Economics, Wiley Blackwell, vol. 11(1), pages 144-158, February.
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    42. Marcel Fratzscher, 2008. "Oral Interventions Versus Actual Interventions in Fx Markets – An Event‐Study Approach," Economic Journal, Royal Economic Society, vol. 118(530), pages 1079-1106, July.
    43. Young-Kyu Moh & Nelson C. Mark, 2004. "Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market," Econometric Society 2004 Far Eastern Meetings 762, Econometric Society.
    44. Reitz, Stefan, 2002. "Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate," Discussion Paper Series 1: Economic Studies 2002,17, Deutsche Bundesbank.
    45. Fratzscher, Marcel, 2004. "Communication and exchange rate policy," Working Paper Series 363, European Central Bank.
    46. Takeshi Kimura & David H. Small, 2004. "Quantitative monetary easing and risk in financial asset markets," Finance and Economics Discussion Series 2004-57, Board of Governors of the Federal Reserve System (U.S.).
    47. Chang, Yuanchen & Taylor, Stephen J., 1998. "Intraday effects of foreign exchange intervention by the Bank of Japan1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 191-210, February.
    48. Baillie, Richard T. & Kim, Kun Ho, 2015. "Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 99-111.
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    3. Boubaker, Heni & Zorgati, Mouna Ben Saad & Bannour, Nawres, 2021. "Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 592-608.
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    1. Aaron D. Smallwood & Paul M. Beaumont, 2002. "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002 285, Society for Computational Economics.
    2. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
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    5. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
    6. Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004. "Asymptotics for Duration-Driven Long Range Dependent Processes," Econometrics 0412009, University Library of Munich, Germany.
    7. John W. Galbraith & Victoria Zinde-Walsh, 2001. "Autoregression-Based Estimators for ARFIMA Models," CIRANO Working Papers 2001s-11, CIRANO.
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    10. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 129-143.
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    6. Klein, Tony & Walther, Thomas, 2017. "Fast fractional differencing in modeling long memory of conditional variance for high-frequency data," Finance Research Letters, Elsevier, vol. 22(C), pages 274-279.
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    8. Jie Zhu, 2008. "FIEGARCH-M and and International Crises: A Cross-Country Analysis," CREATES Research Papers 2008-16, Department of Economics and Business Economics, Aarhus University.
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    1. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
    2. Richard T. Baillie & George Kapetanios & Fotis Papailias, 2017. "Inference for impulse response coefficients from multivariate fractionally integrated processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 60-84, March.
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    5. Marianna Belloc & Giancarlo Gandolfo, 2005. "The Current Account - Interest Rate Relation as a Nonlinear Phenomenon," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 14(2), pages 145-166.
    6. Cao, Bolong & Sun, Yixiao, 2011. "Asymptotic distributions of impulse response functions in short panel vector autoregressions," Journal of Econometrics, Elsevier, vol. 163(2), pages 127-143, August.
    7. Pesaran, M. Hashem & Shin, Yongcheol, 1996. "Cointegration and speed of convergence to equilibrium," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 117-143.
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    9. M. Kent Bolton, 2001. "Pas De Trois: the Synergism of Surprise, Threat, and Response Time and Its Effects On U.S. Foreign-Policy Behavior," Conflict Management and Peace Science, Peace Science Society (International), vol. 18(2), pages 175-210, February.

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    1. Jules Tinang & Nour Meddahi, 2016. "GMM estimation of the Long Run Risks model," 2016 Meeting Papers 1107, Society for Economic Dynamics.

  30. Bailey, Ralph W & Baillie, Richard T & McMahon, Patrick C, 1984. "Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market," Oxford Economic Papers, Oxford University Press, vol. 36(1), pages 67-85, March.

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    1. HeeJoon Kang, 1992. "Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation," Open Economies Review, Springer, vol. 3(2), pages 215-232, June.
    2. Antonio Diez de los Rios & Enrique Sentana, 2011. "Testing Uncovered Interest Parity: A Continuous‐Time Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 1215-1251, November.
    3. Choudhry, Taufiq, 1999. "Re-examining forward market efficiency Evidence from fractional and Harris-Inder cointegration tests," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 433-453, November.
    4. Rohit Vishal Kumar & Dhekra Azouzi, 2011. "Tunisian and Indian Forex Markets: A Comparision on Forward Rate Unbiased Hypothesis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 81-98, June.
    5. Gregory, Allan W. & McCurdy, Thomas H., 1986. "The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany," European Economic Review, Elsevier, vol. 30(2), pages 365-381, April.
    6. Barry A. Goss & S. Gulay Avsar, 2016. "Can Economists Forecast Exchange Rates? The Debate Re-Visited: The Case of the USD/GBP Market," Australian Economic Papers, Wiley Blackwell, vol. 55(1), pages 14-28, March.
    7. Hodgson, Douglas J. & Linton, Oliver & Vorkink, Keith, 2004. "Testing forward exchange rate unbiasedness efficiently: A semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7(2), pages 1-29, November.
    8. Dhekra Azouzi & Rohit Vishal Kumar & Chaker Aloui, 2011. "Forward Rate Unbiasedness Hypothesis in the Tunisian Exchange Rate Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 1(2), pages 17-44, July.
    9. Napolitano, Oreste, 2000. "The efficiency hypothesis and the role of ‘news’ in the Euro/British pound exchange rate market: an empirical analysis using daily data," ISER Working Paper Series 2000-30, Institute for Social and Economic Research.
    10. Lars Hörngren & Anders Vredin, 1989. "Exchange risk premia in a currency basket system," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 125(2), pages 311-325, June.
    11. de Brouwer,Gordon, 1999. "Financial Integration in East Asia," Cambridge Books, Cambridge University Press, number 9780521651486.
    12. Alexakis, Panayotis & Apergis, Nicholas, 1996. "ARCH effects and cointegration: Is the foreign exchange market efficient?," Journal of Banking & Finance, Elsevier, vol. 20(4), pages 687-697, May.
    13. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
    14. Nyahoho, Emmanuel, 1995. "La concurrence de monnaies dans un marché financier dématérialisé," L'Actualité Economique, Société Canadienne de Science Economique, vol. 71(3), pages 334-364, septembre.
    15. Fu, Hsuan & Luger, Richard, 2022. "Multiple testing of the forward rate unbiasedness hypothesis across currencies," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 232-245.

  31. Baillie, Richard T & Lippens, Robert E & McMahon, Patrick C, 1983. "Testing Rational Expectations and Efficiency in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 51(3), pages 553-563, May.

    Cited by:

    1. Andrew M. McKenzie & Bingrong Jiang & Harjanto Djunaidi & Linwood A. Hoffman & Eric J. Wailes, 2002. "Unbiasedness and Market Efficiency Tests of the U.S. Rice Futures Market," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 24(2), pages 474-493.
    2. Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim, 2022. "A New Test forMarket Efficiency and Uncovered Interest Parity," PIER Working Paper Archive 22-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    3. Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
    4. Yerima Ngama, 1994. "A re-examination of the forward exchange rate unbiasedness hypothesis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(3), pages 447-460, September.
    5. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Discussion Paper 1991-68, Tilburg University, Center for Economic Research.
    6. Gregory, Allan W. & McCurdy, Thomas H., 1986. "The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany," European Economic Review, Elsevier, vol. 30(2), pages 365-381, April.
    7. Gregory, Allan W. & McCurdy, Thomas H., 1984. "Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 357-368, December.
    8. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
    9. Vortelinos, Dimitrios I., 2014. "Non-parametric analysis of equity arbitrage," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 199-216.
    10. Barry A. Goss & S. Gulay Avsar, 2016. "Can Economists Forecast Exchange Rates? The Debate Re-Visited: The Case of the USD/GBP Market," Australian Economic Papers, Wiley Blackwell, vol. 55(1), pages 14-28, March.
    11. Hodgson, Douglas J. & Linton, Oliver & Vorkink, Keith, 2004. "Testing forward exchange rate unbiasedness efficiently: A semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7(2), pages 1-29, November.
    12. Campbell, John Y, 1987. "Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis," Econometrica, Econometric Society, vol. 55(6), pages 1249-1273, November.
    13. McKenzie, Andrew M. & Holt, Matthew T., 1998. "Market Efficiency In Agricultural Futures Markets," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20933, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    14. Richard T., Baillie, 2011. "Possible solutions to the forward bias paradox," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 617-622, October.
    15. Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019. "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, vol. 77(C), pages 92-112.
    16. Napolitano, Oreste, 2000. "The efficiency hypothesis and the role of ‘news’ in the Euro/British pound exchange rate market: an empirical analysis using daily data," ISER Working Paper Series 2000-30, Institute for Social and Economic Research.
    17. Shashi Gupta & Himanshu Choudhary & D. R. Agarwal, 2018. "An Empirical Analysis of Market Efficiency and Price Discovery in Indian Commodity Market," Global Business Review, International Management Institute, vol. 19(3), pages 771-789, June.
    18. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    19. Shyh-Wei Chen, 2010. "Testing the hypothesis of market efficiency in the Taiwan-US forward exchange market since 1990," Applied Economics, Taylor & Francis Journals, vol. 42(1), pages 121-132.
    20. Guneratne B Wickremasinghe & Jae H Kim, 2008. "Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(2), pages 169-196, August.
    21. Puah, Chin-Hong & Chong, Lucy Lee-Yun & Jais, Mohamad, 2011. "Testing the Rational Expectations Hypothesis on the Retail Trade Sector Using Survey Data from Malaysia," MPRA Paper 36699, University Library of Munich, Germany.
    22. W A Razzak, 1998. "The forward rate unbiasedness hypothesis in inflation-targeting regimes," Reserve Bank of New Zealand Discussion Paper Series G99/3, Reserve Bank of New Zealand, revised Aug 1999.
    23. Takatoshi Ito, 1984. "Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity," NBER Working Papers 1493, National Bureau of Economic Research, Inc.
    24. José Roberto López, 1993. "Market efficiency, purchasing power parity and cointegration in Central American black foreing exchange markets," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 8(1), pages 111-153.
    25. David Cobham, 1986. "El debate actual entre Keynesianismo y Monetaristas," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 19, pages 153-173.
    26. Warren J. Tease, 1988. "Speculative Efficiency and the Exchange Rate: Some Evidence Since the Float," The Economic Record, The Economic Society of Australia, vol. 64(1), pages 2-13, March.
    27. Baillie, Richard T. & Kim, Kun Ho, 2015. "Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 99-111.
    28. Roberts, Mark A., 1995. "Imperfect information: Some implications for modelling the exchange rate," Journal of International Economics, Elsevier, vol. 38(3-4), pages 375-383, May.
    29. Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 251-287.
    30. Kuchiki, Akifumi & Ogawa, Kazuo, 1990. "Formation of Expectations and Learning in the Market," The Developing Economies, Institute of Developing Economies, Japan External Trade Organization(JETRO), vol. 28(1), pages 42-66, March.
    31. Michael W. M. Roos & Ulrich Schmidt, 2012. "The Importance of Time‐Series Extrapolation for Macroeconomic Expectations," German Economic Review, Verein für Socialpolitik, vol. 13(2), pages 196-210, May.
    32. Wang, Peijie & Jones, Trefor, 2002. "Testing for efficiency and rationality in foreign exchange markets--a review of the literature and research on foreign exchange market efficiency and rationality with comments," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 223-239, April.
    33. Drakos, Konstantinos, 2003. "The term structure of deviations from the interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 57-67, February.
    34. Murphy, A. & Schlag, C., 1999. "An empirical examination of the effect of dividend taxation on asset pricing and returns in Germany," Global Finance Journal, Elsevier, vol. 10(1), pages 35-52.
    35. Sam Warburton & Kirdan Lees, 2005. "A happy "halfway-house"? Medium term inflation targeting in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2005/03, Reserve Bank of New Zealand.
    36. Malini, Nair, 2005. "Arbitrage, cointegration and testing the unbiasedness hypothesis in coffee futures traded at the CSCE," MPRA Paper 37530, University Library of Munich, Germany.
    37. Richard T. Baillie & Kun Ho Kim, 2016. "Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VAR Approaches," Working Paper series 16-04, Rimini Centre for Economic Analysis.
    38. Alexakis, Panayotis & Apergis, Nicholas, 1996. "ARCH effects and cointegration: Is the foreign exchange market efficient?," Journal of Banking & Finance, Elsevier, vol. 20(4), pages 687-697, May.
    39. Rahim Loufir & Catherine Bruno & Pascal Jacquinot, 1992. "L'efficience et la formation des anticipations sur le marché des changes," Revue de l'OFCE, Programme National Persée, vol. 42(1), pages 249-282.
    40. Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 23-42, March.
    41. Frachot, Antoine, 1996. "A reexamination of the uncovered interest rate parity hypothesis," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 419-437, June.
    42. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
    43. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
    44. Lindsay I. Hogan, 1986. "A Comparison of Alternative Exchange Rate Forecasting Models," The Economic Record, The Economic Society of Australia, vol. 62(2), pages 215-223, June.
    45. Alain P. Chaboud & Jonathan H. Wright, 2003. "Uncovered interest parity: it works, but not for long," International Finance Discussion Papers 752, Board of Governors of the Federal Reserve System (U.S.).
    46. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November.
    47. Miles R. Cook, 1989. "Macroeconomic Policy Changes and the Forward Exchange Premium," The American Economist, Sage Publications, vol. 33(1), pages 69-79, March.
    48. Holmes, Mark J., 2002. "Does long-run real interest parity hold among EU countries? Some new panel data evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(4), pages 733-746.
    49. Mervin Daub, 1984. "Some Reflections on the Importance of Forecasting to Policy-making," Canadian Public Policy, University of Toronto Press, vol. 10(4), pages 377-383, December.
    50. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Other publications TiSEM 0c1ff78c-d484-43bb-bcc3-a, Tilburg University, School of Economics and Management.
    51. Myers, Robert J. & Oehmke, James F., 1987. "Instability and Risk as Rationales for Government Intervention in Agriculture," Staff Paper Series 200938, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    52. Shen Chung-Hua, 1998. "The Term Structure of Taiwan Money Market Rates And Rational Expectation," International Economic Journal, Taylor & Francis Journals, vol. 12(1), pages 105-119.
    53. Pinar Ozlu, 2006. "Risk Premium and Central Bank Intervention," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(1), pages 65-79.

  32. Baillie, Richard T, 1981. "Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors," Econometrica, Econometric Society, vol. 49(5), pages 1331-1337, September.

    Cited by:

    1. Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 671-690.
    2. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
    3. Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 228-266.
    4. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute.
    5. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.

  33. Baillie, R T & McMahon, P C, 1981. "Interest Rates and Investment in West Germany," Empirical Economics, Springer, vol. 6(1), pages 1-9.

    Cited by:

    1. Faris Alshubiri, 2022. "The Impact of the Real Interest Rate, the Exchange Rate and Political Stability on Foreign Direct Investment Inflows: A Comparative Analysis of G7 and GCC Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(3), pages 569-603, September.

  34. Baillie, Richard T., 1980. "Predictions from ARMAX models," Journal of Econometrics, Elsevier, vol. 12(3), pages 365-374, April.

    Cited by:

    1. Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
    2. Miaomiao Niu & Guohao Li, 2022. "The Impact of Climate Change Risks on Residential Consumption in China: Evidence from ARMAX Modeling and Granger Causality Analysis," IJERPH, MDPI, vol. 19(19), pages 1-15, September.
    3. Cabral, Joilson de Assis & Legey, Luiz Fernando Loureiro & Freitas Cabral, Maria Viviana de, 2017. "Electricity consumption forecasting in Brazil: A spatial econometrics approach," Energy, Elsevier, vol. 126(C), pages 124-131.
    4. Abdelmonaem Jornaz & V. A. Samaranayake, 2019. "A Multi-Step Approach to Modeling the 24-hour Daily Profiles of Electricity Load using Daily Splines," Energies, MDPI, vol. 12(21), pages 1-22, November.
    5. Giacomini, Raffaella & Granger, Clive W.J., 2001. "Aggregationn of Space-Time Processes," University of California at San Diego, Economics Working Paper Series qt77f76455, Department of Economics, UC San Diego.
    6. Baillie, Richard T. & Kongcharoen, Chaleampong & Kapetanios, George, 2012. "Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures," International Journal of Forecasting, Elsevier, vol. 28(1), pages 46-53.
    7. Rama K. Malladi & Prakash L. Dheeriya, 2021. "Time series analysis of Cryptocurrency returns and volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(1), pages 75-94, January.
    8. Llewellyn, Mary & Ross, Gordon & Ryan-Saha, Joshua, 2023. "COVID-era forecasting: Google trends and window and model averaging," Annals of Tourism Research, Elsevier, vol. 103(C).
    9. Jaroslava HLOUSKOVA & Kurt SCHMIDHEINY & Martin WAGNER, 2004. "Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management," Cahiers de Recherches Economiques du Département d'économie 04.10, Université de Lausanne, Faculté des HEC, Département d’économie.
    10. Edi Sukamto & Dadang Gunawan, 2016. "Dynamic detection system design of fraud simbox to improve quality service of international incoming call," Journal of Applied and Physical Sciences, Prof. Vakhrushev Alexander, vol. 2(3), pages 77-81.
    11. Marta Baltar Moreira Areosa & Wagner Piazza Gaglianone, 2023. "Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models," Working Papers Series 574, Central Bank of Brazil, Research Department.
    12. Mauro Bernardi & Leopoldo Catania, 2016. "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling," Papers 1601.05199, arXiv.org.

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