Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models

By Yongmiao Hong, Tae-Hwy Lee. Review of Economics and Statistics, 2003

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How researchers see this paper

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Statistical Dependence: Beyond Pearson’s ρ (2018, methodology): “More work related to this has been done by Hong and Lee (2003) and Escanciano and Velasco (2006).”
Generalized spectral tests for the martingale difference hypothesis (2006, methodology): “Hong and Lee (2003, 2005) consider a wild bootstrap approximation for the Hong’s (1999) MDH test.”
Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates (2012, methodology): “Kuan and Lee (2004) obtain the same results from their spectral test, except for the British currency for which they do not reject the MDH, whereas Hong and Lee (2003), Escanciano and Velasco (2006) and Escanciano and Lobato (2009b) reject the MDH for all exchange rates using the generalized…”
An Automatic Portmanteau Test for Serial Correlation (2009, background): “The rst approach considers p as a bandwidth number that grows slowly with the sample size, see Hong (1996) and Hong and Lee (2003).”
Theory and Applications of TAR Model with Two Threshold Variables (2012, result): “The variable is a ratio of two moving averages, which is similar to that of Hong and Lee (2003).”