Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability

By Abhay Abhyankar, Lucio Sarno, Giorgio Valente. 2005

172 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7fe81796834275b6552e9b82940b644614b8c8f8

Citations in the corpus

• Exchange Rate Predictability (2013, unknown): “…Cheung et al. (2005) and Cerra and Saxena (2010); (ii) a utility-based measure, as in West, Edison and Cho (1993), Rime, Sarno and Sojli (2010), Abhyankar et al. (2005) and Della Corte et al. (2010); or (iii) the whole predictive density or interval forecasts, as in Diebold, Hahn and Tay…”
• Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? (2004, unknown): “For instance, recently Abhyankar et al. (2005) have proposed a utility-based metric based upon the portfolio allocation problem.”
• Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? (2003, unknown): “For instance, recently Abhyankar et al. (2002) have proposed a utility-based metric based upon the portfolio allocation problem. They find that the relative performance of the structural model increases when using this metric. To the extent that this is a general finding, one can interpret our appro”