The performance of UK exchange rate forecasters

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

An Introduction to Multivariate Statistical Analysis

1986 • 9,529 citations

On a measure of lack of fit in time series models

1978 • 5,638 citations

Trends and random walks in macroeconmic time series

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Empirical exchange rate models of the seventies

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A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

1981 • 2,374 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

International Portfolio Choice and Corporation Finance: A Synthesis

1983 • 1,374 citations

Applied Economic Forecasting

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Time series models

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Improved methods of combining forecasts

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Univariate detrending methods with stochastic trends

1986 • 873 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 561 citations

What do Economists Know? An Empirical Study of Experts' Expectations

1981 • 313 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 300 citations

THE FORWARD EXCHANGE RATE, EXPECTATIONS, AND DEMAND FOR MONEY: THE GERMAN HYPERINFLATION

1977 • 269 citations

Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments

1983 • 214 citations

Spot rates, forward rates and exchange market efficiency

1977 • 205 citations

Testing Rational Expectations and Efficiency in the Foreign Exchange Market

1983 • 187 citations

Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange

1979 • 150 citations

Econometric tests of rationality and market efficiency

1989 • 140 citations

Optimal Aggregation of Money Supply Forecasts: Accuracy, Profitability and Market Efficiency

1983 • 76 citations

Comparing exchange rate forecasting models

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Foreign Exchange Rate Forecasting Techniques: Implications for Business and Policy

1979 • 72 citations

INTERPRETING ECONOMETRIC EVIDENCE ON EFFICIENCY IN THE FOREIGN EXCHANGE MARKET

1984 • 37 citations

ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY

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Forecasting accuracy of forward exchange rates and the efficiency of the market for foreign exchange : an inquiry into the performance of the foreign-exchange forecasting industry

1982 • 1 citations