Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?

By Yin-Wong Cheung, M. Chinn, Antonio I. Garcia Pascual. 2004

103 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/e3c6f21b2ef82dcaaec6ee813f1d88835cd88e07

Citations in the corpus

• Why You Should Never Use the Hodrick-Prescott Filter (2017, unknown): “…random walk is often extremely hard to beat in out-of-sample forecasting comparisons, as has been found, for example, by Meese and Rogoff (1983) and Cheung, Chinn, and Pascual (2005) for exchange rates, Flood and Rose (2010) for stock prices, Atkeson and Ohanian (2001) for inflation, or Balcilar…”