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High Frequency Exchange Rate Forecasting

Bibliography

Baillie, T.; Bollerslev, T. (1989): The message in daily exchange rates: a conditional variance tale, Journal of Business and Economic Statistics, 7, 297-305.

BIS – Bank of International Settlement (1996), Central Bank Survey of Foreign Exchange Market Activity in April 1995, Basle.

Brock, W.; Lakonishok, J.; LeBaron, B. (1991): Simple technical trading rules and the stochastic properties of stock returns, Social Systems Research Institute, University of Wisconsin.

Cheung, Y-W.; Lai, K.S. (1993): Finite sample size of Johansen likelihood ratio tests for cointegration, Oxford Bulletin of Economics and Statistics, 55, 313-328.

Cheung, Y-W; Wong, C. Y-P. (1997): The performance of trading rules on four Asian currency exchange rates, University of Economics and University of Hong Kong.

Clements, M.P.; Mizon, G.E. (1991): Empirical analysis of macroeconomic time series: VAR and structural models, European Economic Review, 35, 887-917.

Crucio, R.; Goodhart, C. (1992): When support/ resistance levels are broken, can profit be made? Evidence from the foreign exchange market, Discussion Paper No. 142, LSE Financial Market Group, Discussion Paper Series, July.

Cumby, R.E.; Modest, D.M. (1987): Testing for market timing ability, Journal of Financial Economics 19, 169-189.

De Grauwe,P.; Decupere, D. (1992): Psychological barriers in the foreign exchange market, Centre for Economic Policy Reserach, Discussion Paper No. 621, London.

Diebold, F.X.; Garedeazbald, j.; Yimlaz, K. (1994): On cointegration and exchange rate dynamics, Journal of Finance 49, 727-735.

Diebold, F. X.; Mariano, R.S. (1995): Comparing predictive ability, Journal of Business and Economic Statistics 13, 253-263.

Dooley, M.P.; Shafer, J. (1983): Analysis of short run exchange rate behaviour: March 1973 to November 1981. Chapter 3 in: D. Bigman and T. Taya (ed.): Exchange Rate and Trade Instability. Cambridge, Massachusetts: Ballinger Publishing.

Edwards, R.D.; Magee, J. (1966): Technical analysis of stock trends, John Magee, Springfield, Massachusset, 5th ed..

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Garman, M.B.; Klass, M.J. (1980): On the estimation of security price volatility from historical data, Journal of Business, 53, 1, 67-78.

Granger, C.W. (1986): Developments in the study of cointegrated economic variables, in: Oxford Bulletin of Economics and Statistics, vol. 48, p. 213-228.

Hendriksson, R.D,; Merton, R.C. (1981): On market timing and investment performance, II: Statistical procedures for evaluating forecasting skills, Journal of Business 54, 513-533.

Hendry, D.F.; Doornik, J. (1994): Pc-Fiml: Interactive econometric modelling of dynamic systems, International Thomson, London.

Hendry, D.F.; Mizon, G.E. (1993): Evaluating dynamic econometric models by encompassing the VAR, in: P.C.B. Phillips (ed.): Models, methods and applications of econometrics: Essays in honor of A.R. Bergstrom (Blackwell: Oxford, 1993)

Hoek, H.; Lucas, A. ;van Dijk, H.K. (1995): Classical and Bayesian aspects of robust unit root interference, Journal of Econometrics, 69, p. 27 - 59.

Hsiao, C. (1997): Cointegration and dynamic simultaneous equations model, Econometrica, 1997, 65, 3, 647-670.

Johansen, S (1988): Statistical analysis of cointegration vectors, Journal of Economic Dynamic and Control, 12, 231-254.

Johansen, S.; Juselius, K. (1990): Maximum likelihood estimation and inference on cointegration. With applications to the demand of money, Oxford Bulletin of Economics and Statistics, 52, p.169-210.

Johansen, S.; Juselius, K. (1992): Testing structural hypothesis in a multivariate cointegration analysis of PPP and the UIP for UK, Journal of Econometrics, 53, p.169-209.

Johansen, S.; Juselius, K. (1994): Identification of the long-run and the short run structure. An application of the ISLM model, Journal of Econometrics, 63, p.7-36.

Johansen, S. (1995): Likelihood based inference in cointegration vector autoregressive models, Oxford.

Lane, G.C. (1984): Lane Stochastics, in: Technical Analysis of Stocks and Commodities, May/ June.

LeBeau, C., Lucas, D. (1992): Börsenanalyse mit dem Computer - Technical traders guide to computer analyses of the futures market, Darmstadt et al. Leoni, W. (1990): Möglichkeiten der Wechselkursprognose: Empirische Untersuchungen zur Informationseffizienz des Devisenmarktes, Gießen.

Levich, R.M¸ Thomas, L.R.(1993): The significance of technical trading rules in the FX market: a bootstrap approach¸ Journal of Money and Finance, 12, p.451-474.

Lucas, A. (1995): Unit root tests based on M estimators, Econometric Theory, 11, p.331-346.MacDonald, R.; Marsh, I.W. (1995): On fundamentals and Exchange Rates: A Casselian Perspective, Review of Economics and Statistics, forthcoming.

MacKinnon, J. (1991): Critical values for cointegration tests, in : R.F. Engleand C.W.J. Granger (eds.) : Long-Run Economic Relationships, Oxford University Press, 267-276.

Menkhoff, L. (1995): Examining the use of technical currency analysis, University of Freiburg, Department of Economics¸ working paper, January.

Menkhoff, L.; Schlumberger, M. (1995): Persistent profitability of technical analysis on foreign exchange markets? Banca Nazionale del Lavoro, Quarterly Review, 193, 189-214.

Meese, R.A.; Rogoff, K. (1983): Empirical exchange rate models of the seventies: Do they fit out of sample?, Journal of International Economics, 14, 3-24.

Murphy, J.L (1986): Technical analysis of the futures markets, a comprehensive guide to trading methods and applications, New York Institute of Finance, New York.

Neftci, S.N. (1991): Naive trading rules in financial markets and Wiener-Kolmogorov prediction theory: a study of "technical analysis", Journal of Business, vol. 64, no.4, p. 549-571.

Osterwald-Lenum, M. (1992): A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test, Oxford Bulletin of Economics and Statistics, 54, p. 461 -471.

Parkinson, M. (1980): The extreme value method for estimating the variance of the rate of return, Journal of Business, 53, 1, 61-65.

Schulmeister, S. (1987): An essay of exchange rate dynamics, Wissenschaftszentrum Berlin für Sozialforschung, IIM Discussion Papers: Labour Market Policy, 87-8.

Sweeny, R. (1986): Beating the foreign exchange market, Journal of Finance, 41, 163-182.

Takens, F. (1981): Detecting strange attractors in turbulence, in: D. Rand, L. Young (Eds.), Dynamical Systems and Turbulence, Berlin.

Taylor, M.P. ; Allen, H. (1992): The use of Technical Anaysis in the foreign exchange market, Journal of International Money and Finance, 11, 304-314.

Thiessen, F. (1995): Wer braucht die Frankfurter Devisenbörse, Die Bank, 1, 15- 19.

White, H. (1980): A heteroskedasticitiy-consistent covariance matrix estimator and a direct test of heteroskedasticity, Econometrica, 48, p. 817-838.

 

Prof. Ronald MacDonald, Prof. Norbert Fiess

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