- Andersen, T.G., Bollerslev, T., 1997. Intraday periodicity and volatility persistence in ï¬Ânancial markets. Journal of Empirical Finance 4, 115–158.
Paper not yet in RePEc: Add citation now
Ang, A., Bekaert, G., 1998. Regime switches in interest rates, NBER Working Paper 6508.
- ARTICLE IN PRESS Y. Hong et al. / Journal of Econometrics 141 (2007) 736–776 Author's personal copy Diebold, F.X., Nason, J.A., 1990. Nonparametric exchange rate prediction. Journal of International Economics 28, 315–332.
Paper not yet in RePEc: Add citation now
- ARTICLE IN PRESS Y. Hong et al. / Journal of Econometrics 141 (2007) 736–776 Author's personal copy Quintana, J., Putnam, B., 1996. Debating currency markets efï¬Âciency using dynamic multiple-factor models. American Statistical Association Proceedings of the Section on Bayesian Statistical Science, 55–60.
Paper not yet in RePEc: Add citation now
Baillie, R., Bollerslev, T., 1989. The message in daily exchange rates: a conditional variance tale. Journal of Business and Economic Statistics 7, 297–305.
Bates, D., 1996. Jumps and stochastic volatility: exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies 9, 69–107.
Berkowitz, J., 2001. Testing the accuracy of density forecasts, applications to risk management. Journal of Business and Economic Statistics 19, 465–474.
Bollen, N., Gray, S., Whaley, R., 2000. Regime-switching in foreign exchange rates: evidence from currency option prices. Journal of Econometrics 94, 239–276.
Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307–327.
Bollerslev, T., 1987. A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics 69, 542–547.
Boothe, P., Glassman, D., 1987. The statistical distribution of exchange rates: empirical evidence and economic implications. Journal of International Economics 22, 297–319.
Chapman, D., Pearson, N., 2000. Is the short rate drift actually nonlinear? Journal of Finance 55, 355–388.
- Clements, M.P., Smith, J., 2000. Evaluating the forecast densities of linear and non-linear models: applications to output growth and unemployment. Journal of Forecasting 19, 255–276.
Paper not yet in RePEc: Add citation now
Corradi, V., Swanson, N., 2005. A test for comparing multiple misspeciï¬Âed conditional interval models.
- Corradi, V., Swanson, N., 2006a. Predictive density evaluation. In: Granger, C.W.J., Elliot, G., Timmerman, A. (Eds.), Handbook of Economic Forecasting. Elsevier, Amsterdam, pp. 197–284.
Paper not yet in RePEc: Add citation now
- Corradi, V., Swanson, N., 2006b. Predictive density and conditional conï¬Âdence interval accuracy tests. Journal of Econometrics, 135, 187–228.
Paper not yet in RePEc: Add citation now
Corradi, V., Swanson, N., 2007. Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes. International Economic Review, forthcoming.
- Cox, D.R., Snell, E.J., 1968. A general deï¬Ânition of residuals. Journal of the Royal Statistical Society B 30, 248–265.
Paper not yet in RePEc: Add citation now
- Dawid, A.P., 1984. Statistical theory: the prequential approach. Journal of the Royal Statistical Society A 147, 278–292.
Paper not yet in RePEc: Add citation now
- Diebold, F.X., 1988. Empirical Modeling of Exchange Rate Dynamics. Springer, New York.
Paper not yet in RePEc: Add citation now
- Diebold, F.X., Gunther, T.A., Tay, A.S., 1998. Evaluating density forecasts with applications to ï¬Ânancial risk management. International Economic Review 39, 863–883.
Paper not yet in RePEc: Add citation now
Diebold, F.X., Hahn, J., Tay, A.S., 1999. Multivariate density forecast evaluation and calibration in ï¬Ânancial risk management: high-frequency returns of foreign exchange. Review of Economics and Statistics 81, 661–673.
Diebold, F.X., Mariano, R., 1995. Comparing predictive accuracy. Journal of Business and Economic Statistics 13, 253–265.
- Dufï¬Âe, D., Pan, J., 1997. An overview of value at risk. Journal of Derivatives 4, 13–32.
Paper not yet in RePEc: Add citation now
Engel, C., 1994. Can the Markov switching model forecast exchange rates?. Journal of International Economics 36, 151–165.
Engel, C., Hamilton, J., 1990. Long swings in the dollar: are they in the data and do markets know it? American Economic Review 80, 689–713.
- Engle, R.F., 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation.
Paper not yet in RePEc: Add citation now
- Engle, R.F., Bollerslev, T., 1986. Measuring the persistence in conditional variances. Econometric Reviews 5, 1–50.
Paper not yet in RePEc: Add citation now
Giacomini, R., White, H., 2003. Tests of conditional predictive ability. Working Paper, University of California, San Diego.
Gourieroux, C., Monfort, A., Renault, E., Trognon, A., 1987. Generalized residuals. Journal of Econometrics 34, 5–32.
- Granger, C., 1999. The evaluation of econometric models and of forecasts. Invited Lecture in Far Eastern Meeting of the Econometric Society, Singapore.
Paper not yet in RePEc: Add citation now
- Granger, C., Pesaran, M.H., 2000. A decision theoretic approach to forecasting evaluation. In: Chan, W.S., Li, W.K., Tong, H. (Eds.), Statistics and Finance: An Interface. Imperial College Press, London, pp. 261–278.
Paper not yet in RePEc: Add citation now
- Gray, S., 1996. Modeling the conditional distribution of interest rates as a regime-switching process. Journal of Financial Economics 42, 27–62.
Paper not yet in RePEc: Add citation now
- Hall, P., Heyde, C., 1980. Martingale limit theory and its application. Academic Press, New York.
Paper not yet in RePEc: Add citation now
Hamilton, J.D., 1989. A new approach to the econometric analysis of nonstationary time series and the business cycle. Econometrica 57, 357–384.
Hamilton, J.D., Susmel, R., 1994. Autoregressive conditional heteroskedasticity and changes in regime. Journal of Econometrics 17, 143–173.
Hansen, B.E., 1994. Autoregressive conditional density estimation. International Economic Review 35, 705–730.
- Harrison, P.J., Stevens, C., 1976. Bayesian forecasting. Journal of the Royal Statistical Society B 38, 205–247.
Paper not yet in RePEc: Add citation now
Hong, Y., 1996. Consistent testing for serial correlation of unknown form. Econometrica 64, 837–864.
- Hong, Y., 2001. Evaluation of out-of-sample density forecasts with application to stock prices. Working Paper, Cornell University.
Paper not yet in RePEc: Add citation now
Hong, Y., Li, H., 2005. Nonparametric speciï¬Âcation testing for continuous-time models with applications to term structure of interest rates. Review of Financial Studies 18, 37–84.
- Hong, Y., Li, H., Zhao, F., 2006. Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates. Working Paper, Cornell University.
Paper not yet in RePEc: Add citation now
- Hsieh, D., 1988. Statistical properties of daily exchange rates. Journal of International Economics 24, 129–145.
Paper not yet in RePEc: Add citation now
- Hsieh, D., 1989. Modeling heteroskedasticity in daily exchange rates. Journal of Business and Economic Statistics 7, 307–317.
Paper not yet in RePEc: Add citation now
Jorion, P., 1988. On jump processes in the foreign exchange and in the stock markets. Review of Financial Studies 1, 427–455.
- Jorion, P., 2000. Value at risk: the new benchmark for managing ï¬Ânancial risk. McGraw-Hill, New York.
Paper not yet in RePEc: Add citation now
- Lancaster, T., 1990. The Econometric Analysis of Transition Data. Cambridge, Cambridge University Press.
Paper not yet in RePEc: Add citation now
Meese, R., Rogoff, K., 1983. Empirical exchange rate models of the seventies: do they ï¬Ât out-of-sample?. Journal of International Economics 14, 3–24.
Meese, R., Rose, A., 1990. Nonlinear, nonparametric, nonessential exchange rate estimation. American Economic Review 80, 192–196.
Nelson, D., 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59, 347–370.
- Putnam, B., Quintana, J., 1994. New Bayesian statistical approaches to estimating and evaluating models of exchange rates determination. In: 1994 Proceedings of the Section on Bayesian Statistical Science. American Statistical Association, Alexandria.
Paper not yet in RePEc: Add citation now
- Scott, D.W., 1992. Multivariate Density Estimation, Theory, Practice, and Visualization. Wiley, New York.
Paper not yet in RePEc: Add citation now
Tay, A., Wallis, K., 2000. Density forecasting: a survey. Journal of Forecasting 19, 235–254.
- West, M., Harrison, P.J., 1997. Bayesian Forecasting and Dynamics Models. Springer, New York, second edition.
Paper not yet in RePEc: Add citation now
- White, H., 1984. Asymptotic Theory for Econometricians. Academic Press, San Diego.
Paper not yet in RePEc: Add citation now
- Wolff, C.C.P., 1985. Exchange rate models, parameter variation and innovations: a study on the forecasting performance of empirical models of exchange rate determination. Unpublished Doctoral Dissertation, Graduate School of Business, University of Chicago.
Paper not yet in RePEc: Add citation now
Wolff, C.C.P., 1987. Forward foreign exchange rates, expected spot rates, and premia: a signal-extracting approach. Journal of Finance XLII, 395–406.
- Zellner, A., 1971. Introduction to Bayesian Inference in Econometrics. Wiley, New York.
Paper not yet in RePEc: Add citation now
Zellner, A., Hong, C., Min, C., 1991. Forecasting turning points in international output growth rates using Bayesian exponentially weighted autoregression, time-varying parameter, and pooling techniques. Journal of Econometrics 49, 275–304.