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The geometric-VaR backtesting method
Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
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Nonnested testing in models estimated via generalized method of moments
Hall, Alastair R.; Pelletier, Denis - In: Econometric theory 27 (2011) 2, pp. 443-456
Persistent link: https://www.econbiz.de/10009310703
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The reaction of exchange rates to economic news
Hakkio, Craig S. - In: Economic inquiry : journal of the Western Economic … 23 (1985) 4, pp. 621-636
Persistent link: https://www.econbiz.de/10001012628
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Asset prices and expected monetary policy : evidence from daily data
Ivrendi, Mehmet; Pearce, Douglas Kenneth - In: Applied economics 46 (2014) 7/9, pp. 985-995
Persistent link: https://www.econbiz.de/10010399527
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Macroeconomic news and exchange rates
Pearce, Douglas Kenneth; Solakoğlu, Mehmet Nihat - In: Journal of international financial markets, … 17 (2007) 4, pp. 307-325
Persistent link: https://www.econbiz.de/10003609475
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Professional forecasts of interest rates and exchange rates : evidence from the Wall Street Journal's panel of economists
Mitchell, Karlyn; Pearce, Douglas Kenneth - In: Journal of macroeconomics 29 (2007) 4, pp. 840-854
Persistent link: https://www.econbiz.de/10003586710
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Test for parameter instability in dynamic factor models
Han, Xu; Inoue, Atsushi - In: Econometric theory 31 (2015) 5, pp. 1117-1152
Persistent link: https://www.econbiz.de/10011545524
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 196 (2017) 1, pp. 144-155
Persistent link: https://www.econbiz.de/10011743789
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Heterogeneous consumers and fiscal policy shocks
Anderson, Emily; Inoue, Atsushi; Rossi, Barbara - In: Journal of money, credit and banking : JMCB 48 (2016) 8, pp. 1877-1888
Persistent link: https://www.econbiz.de/10011707972
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Out-of-sample forecast tests robust to the choice of window size
Rossi, Barbara; Inoue, Atsushi - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 3, pp. 432-453
Persistent link: https://www.econbiz.de/10009657251