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subject:"Wechselkurs"
subject:"Cointegration"
~isPartOf:"Applied financial economics"
~isPartOf:"Journal of applied econometrics"
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Wechselkurs
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Applied financial economics
Journal of applied econometrics
Applied economics
172
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150
Applied economics letters
122
Journal of international money and finance
114
International journal of economics and financial issues : IJEFI
105
CESifo working papers
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103
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89
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Iranian economic review : journal of University of Tehran
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Exchange rates and macroeconomic fundamentals : evidence of instabilities from time-varying factor loadings
Hillebrand, Eric
;
Mikkelsen, Jakob Guldbæk
;
Spreng, Lars
; …
- In:
Journal of applied econometrics
38
(
2023
)
6
,
pp. 857-877
Persistent link: https://www.econbiz.de/10014432197
Saved in:
2
Long-run predictability tests are even worse than you thought
Hjalmarsson, Erik
;
Kiss, Tamás
- In:
Journal of applied econometrics
37
(
2022
)
7
,
pp. 1334-1355
Persistent link: https://www.econbiz.de/10013473977
Saved in:
3
Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance
Liao, Wenting
;
Ma, Jun
;
Zhang, Chengsi
- In:
Journal of applied econometrics
38
(
2023
)
7
,
pp. 989-1006
Persistent link: https://www.econbiz.de/10014474382
Saved in:
4
Monetary policy and exchange rate anomalies in set-identified SVARs : revisited
Rüth, Sebastian
;
Van der Veken, Wouter
- In:
Journal of applied econometrics
38
(
2023
)
7
,
pp. 1085-1092
Persistent link: https://www.econbiz.de/10014474414
Saved in:
5
The demand for money at the zero interest rate bound
Watanabe, Tsutomu
;
Tomoyoshi, Yabu
- In:
Journal of applied econometrics
38
(
2023
)
6
,
pp. 968-976
Persistent link: https://www.econbiz.de/10014432204
Saved in:
6
ARDL bounds test for cointegration : Replicating the Pesaran et al. (2001) results for the UK earnings equation using R
Natsiopoulos, Kleanthis
;
Tzeremes, Nickolaos G.
- In:
Journal of applied econometrics
37
(
2022
)
5
,
pp. 1079-1090
Persistent link: https://www.econbiz.de/10013464657
Saved in:
7
Forecasting volatility in developing countries' nominal exchange returns
Antonakakis, Nikolaos
;
Darby, Julia
- In:
Applied financial economics
23
(
2013
)
19/21
,
pp. 1675-1691
Persistent link: https://www.econbiz.de/10010260183
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8
Structural FECM : cointegration in large‐scale structural FAVAR models
Banerjee, Anindya
;
Marcellino, Massimiliano
;
Masten, Igor
- In:
Journal of applied econometrics
32
(
2017
)
6
,
pp. 1069-1086
Persistent link: https://www.econbiz.de/10011862314
Saved in:
9
Model selection with estimated factors and idiosyncratic components
Fosten, Jack
- In:
Journal of applied econometrics
32
(
2017
)
6
,
pp. 1087-1106
Persistent link: https://www.econbiz.de/10011862567
Saved in:
10
Error correction testing in panels with common stochastic trends
Gengenbach, Christian
;
Urbain, Jean-Pierre
;
Westerlund, …
- In:
Journal of applied econometrics
31
(
2016
)
6
,
pp. 982-1004
Persistent link: https://www.econbiz.de/10011686171
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11
Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations
Athanasopoulos, George
;
Poskitt, Donald Stephen
;
Vahid, …
- In:
Journal of applied econometrics
31
(
2016
)
6
,
pp. 1100-1119
Persistent link: https://www.econbiz.de/10011686292
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12
The environmental Kuznets curve, cointegration and nonlinearity
Wagner, Martin
- In:
Journal of applied econometrics
30
(
2015
)
6
,
pp. 948-967
Persistent link: https://www.econbiz.de/10011431676
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13
Simple identification and specification of cointegrated VARMA models
Kascha, Christian
;
Trenkler, Carsten
- In:
Journal of applied econometrics
30
(
2015
)
4
,
pp. 675-702
Persistent link: https://www.econbiz.de/10011332854
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14
Volatility forecasting performance of two-scale realized volatility
Garg, S.
;
Vipul
- In:
Applied financial economics
24
(
2014
)
16/18
,
pp. 1111-1121
Persistent link: https://www.econbiz.de/10010418949
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15
Nonlinear adjustment between the Eonia and Euribor rates : a two-regime threshold cointegration analysis
Tamakoshi, Go
;
Hamori, Shigeyuki
- In:
Applied financial economics
24
(
2014
)
1/3
,
pp. 139-143
Persistent link: https://www.econbiz.de/10010391461
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16
Credit risk-free sovereign bonds under Solvency II : a cointegration analysis with consistently estimated structural breaks
Ludwig, Alexander
- In:
Applied financial economics
24
(
2014
)
10/12
,
pp. 811-823
Persistent link: https://www.econbiz.de/10010402551
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17
The relationship between oil prices and stock prices : a nonlinear asymmetric cointegration approach
Rafailidis, Panagiotis
;
Katrakilides, K.
- In:
Applied financial economics
24
(
2014
)
10/12
,
pp. 793-800
Persistent link: https://www.econbiz.de/10010402556
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18
Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
- In:
Journal of applied econometrics
29
(
2014
)
1
,
pp. 161-171
Persistent link: https://www.econbiz.de/10010414227
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19
The equilibrium level and forecasting performance of nominal effective exchange rate indexes using an export and import price-based relative PPP model
Grossmann, Axel
;
Paul, Chris W.
;
Simpson, Marc W.
- In:
Applied financial economics
24
(
2014
)
13/15
,
pp. 1017-1030
Persistent link: https://www.econbiz.de/10010415312
Saved in:
20
Modelling long-run money demand : a panel data analysis on nine developed economies
Foresti, Pasquale
;
Napolitano, Oreste
- In:
Applied financial economics
23
(
2013
)
22/24
,
pp. 1707-1719
Persistent link: https://www.econbiz.de/10010336272
Saved in:
21
Time-varying betas of sectoral returns to market returns and exchange rate movements
Karlsson, Hyunjoo Kim
;
Hacker, Scott
- In:
Applied financial economics
23
(
2013
)
13/15
,
pp. 1155-1168
Persistent link: https://www.econbiz.de/10010204788
Saved in:
22
Taylor rule equilibrium exchange rates and nonlinear mean reversion
Beckmann, Joscha
;
Wilde, Wolfram
- In:
Applied financial economics
23
(
2013
)
13/15
,
pp. 1097-1107
Persistent link: https://www.econbiz.de/10010204803
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23
How puzzling is the PPP puzzle? : an alternative half-life measure of convergence to PPP
Chortareas, Georgios E.
;
Kapetanios, George
- In:
Journal of applied econometrics
28
(
2013
)
3
,
pp. 435-457
Persistent link: https://www.econbiz.de/10009756501
Saved in:
24
Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
Jochmann, Markus
;
Koop, Gary
;
Leon-Gonzalez, Roberto
; …
- In:
Journal of applied econometrics
28
(
2013
)
1
,
pp. 62-81
Persistent link: https://www.econbiz.de/10009733363
Saved in:
25
Nonlinearity in the reaction of the foreign exchange market to interest rate differentials : evidence from a small open economy with a long-term peg
Jackman, Mahalia
;
Craigwell, Roland C.
;
Doyle-Lowe, Michelle
- In:
Applied financial economics
23
(
2013
)
4/6
,
pp. 287-296
Persistent link: https://www.econbiz.de/10009718935
Saved in:
26
Determinants of interest rate swap spreads in the US : bounds testing approach to cointegration
Toyoshima, Yuki
- In:
Applied financial economics
22
(
2012
)
4/6
,
pp. 331-338
Persistent link: https://www.econbiz.de/10009581360
Saved in:
27
The weekly structure of US stock prices
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
- In:
Applied financial economics
21
(
2011
)
22/24
,
pp. 1757-1764
Persistent link: https://www.econbiz.de/10009384839
Saved in:
28
Regime switching fractional cointegration and futures hedging
Lee, Hsiang-tai
- In:
Applied financial economics
21
(
2011
)
13/15
,
pp. 1145-1157
Persistent link: https://www.econbiz.de/10009317429
Saved in:
29
Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis
Bissoondoyal-Bheenick, Emawtee
;
Brooks, Robert
;
Hum, …
- In:
Applied financial economics
21
(
2011
)
13/15
,
pp. 997-1003
Persistent link: https://www.econbiz.de/10009317447
Saved in:
30
Oil prices and the greenback : it takes two to tango
Razgallah, Brahim
;
Smimou, Kamal
- In:
Applied financial economics
21
(
2011
)
7/9
,
pp. 519-528
Persistent link: https://www.econbiz.de/10009153254
Saved in:
31
Evaluating hedging strategies in the foreign exchange market with the stochastic dominance approach
Chiang, Yi-chein
;
Liao, Tung Liang
;
Hsiao, Tse-an
- In:
Applied financial economics
21
(
2011
)
7/9
,
pp. 493-503
Persistent link: https://www.econbiz.de/10009153267
Saved in:
32
Forecasting realized volatility : a Bayesian model-averaging approach
Liu, Chun
;
Maheu, John M.
- In:
Journal of applied econometrics
24
(
2009
)
5
,
pp. 709-733
Persistent link: https://www.econbiz.de/10003931571
Saved in:
33
Structural breaks and GARCH models of exchange rate volatility
Rapach, David E.
;
Strauss, Jack
- In:
Journal of applied econometrics
23
(
2008
)
1
,
pp. 65-90
Persistent link: https://www.econbiz.de/10003682842
Saved in:
34
Estimating banks' equity duration : a panel cointegration approach
Hatemi-J, Abdulnasser
;
Roca, Eduardo
- In:
Applied financial economics
18
(
2008
)
13/15
,
pp. 1173-1180
Persistent link: https://www.econbiz.de/10003760234
Saved in:
35
Money demand function estimation by nonlinear cointegration
Bae, Youngsoo
;
Jong, Robert M. de
- In:
Journal of applied econometrics
22
(
2007
)
4
,
pp. 767-793
Persistent link: https://www.econbiz.de/10003550506
Saved in:
36
Permanent vs transitory components and economic fundamentals
Garratt, Anthony
;
Robertson, Donald
;
Wright, Stephen
- In:
Journal of applied econometrics
21
(
2006
)
4
,
pp. 521-542
Persistent link: https://www.econbiz.de/10003338662
Saved in:
37
Purchasing power parity as a long-term memory process : evidence from Canada
Villeneuve, Jean-Francois
;
Handa, Jagdish
- In:
Applied financial economics
16
(
2006
)
1/2
,
pp. 109-117
Persistent link: https://www.econbiz.de/10003291818
Saved in:
38
Purchasing power parity in economies in transition : evidence from Central and East European countries
Sideris, Dimitrios
- In:
Applied financial economics
16
(
2006
)
1/2
,
pp. 135-143
Persistent link: https://www.econbiz.de/10003291843
Saved in:
39
Low swings in the Canadian dollar
Pinno, Karl
;
Serletis, Apostolos
- In:
Applied financial economics
15
(
2005
)
2
,
pp. 73-76
Persistent link: https://www.econbiz.de/10002537395
Saved in:
40
Estimation of value-at-risk under jump dynamics and asymmetric information
Chiu, Chien-liang
;
Lee, Ming-chih
;
Hung, Jui-cheng
- In:
Applied financial economics
15
(
2005
)
15
,
pp. 1095-1106
Persistent link: https://www.econbiz.de/10003213436
Saved in:
41
A different approach to estimating betas of securities subject to thin trading and serial correlation
Wang, Peijie
;
Jones, Trefor T.
- In:
Applied financial economics
15
(
2005
)
16
,
pp. 1145-1152
Persistent link: https://www.econbiz.de/10003213513
Saved in:
42
Testing the purchasing power parity through I(2) cointegration techniques
Bacchiocchi, Emanuele
;
Fanelli, Luca
- In:
Journal of applied econometrics
20
(
2005
)
6
,
pp. 749-770
Persistent link: https://www.econbiz.de/10003168891
Saved in:
43
Nonlinear effects of exchange rate volatility on the volume of bilateral exports
Baum, Christopher F.
;
Caglayan, Mustafa
;
Ozkan, Neslihan
- In:
Journal of applied econometrics
19
(
2004
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10001924617
Saved in:
44
On Markov error-correction models, with an application to stockprices and dividends
Psaradakis, Zacharias G.
;
Sola, Martin
;
Spagnolo, Fabio
- In:
Journal of applied econometrics
19
(
2004
)
1
,
pp. 69-88
Persistent link: https://www.econbiz.de/10001924673
Saved in:
45
Short patches of outliers, ARCH and volatility modelling
Franses, Philip Hans
;
Dijk, Dick van
;
Lucas, André
- In:
Applied financial economics
14
(
2004
)
4
,
pp. 221-231
Persistent link: https://www.econbiz.de/10001939247
Saved in:
46
The volatility impact of the European monetary system on member and non-member currencies
Hu, Michael Y.
;
Jiang, Christine X.
;
Tsoukalas, Christos
- In:
Applied financial economics
14
(
2004
)
5
,
pp. 313-325
Persistent link: https://www.econbiz.de/10001939388
Saved in:
47
Long run trends and volatility spillovers in daily exchange rates
Black, Angela J.
;
McMillan, David G.
- In:
Applied financial economics
14
(
2004
)
12
,
pp. 895-907
Persistent link: https://www.econbiz.de/10002150770
Saved in:
48
Exchange rate determination during hyperinflation : the case of the Romanian lei
Karfakis, Costas I.
- In:
Applied financial economics
13
(
2003
)
6
,
pp. 473-476
Persistent link: https://www.econbiz.de/10001770764
Saved in:
49
Increasing exchange rate volatility during the recent float
Frömmel, Michael
;
Menkhoff, Lukas
- In:
Applied financial economics
13
(
2003
)
12
,
pp. 857-863
Persistent link: https://www.econbiz.de/10001817132
Saved in:
50
Parities and spread trading in gold and silver markets : a fractional cointegration analysis
Liu, Shi-Miin
;
Chou, Chih-hsien
- In:
Applied financial economics
13
(
2003
)
12
,
pp. 879-891
Persistent link: https://www.econbiz.de/10001817154
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