Nonparametric exchange rate prediction?

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Robust Locally Weighted Regression and Smoothing Scatterplots

1979 • 10,049 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Locally Weighted Regression: An Approach to Regression Analysis by Local Fitting

1988 • 5,073 citations

The variation of certain speculative prices

1997 • 4,766 citations

The Variation of Certain Speculative Prices

1963 • 4,461 citations

Empirical exchange rate models of the seventies

1983 • 4,141 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

Foundations of Finance.

1977 • 1,197 citations

Semi-Nonparametric Maximum Likelihood Estimation

1987 • 926 citations

Nonlinear Dynamics and Stock Returns

1989 • 784 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

Testing for Nonlinear Dependence in Daily Foreign Exchange Rates

1989 • 683 citations

Economic prediction using neural networks: the case of IBM daily stock returns

1988 • 674 citations

Regression by local fitting

1988 • 595 citations

NONPARAMETRIC ESTIMATORS FOR TIME SERIES

1983 • 574 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Modeling The persistence Of Conditional Variances: A Comment

1986 • 463 citations

The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?

1982 • 451 citations

The statistical distribution of exchange rates: Empirical evidence and economic implications

1987 • 326 citations

An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination

1991 • 321 citations

STATE‐DEPENDENT MODELS: A GENERAL APPROACH TO NON‐LINEAR TIME SERIES ANALYSIS

1980 • 307 citations

Empirical Modeling of Exchange Rate Dynamics

1988 • 294 citations

ARMA MODELS WITH ARCH ERRORS

1984 • 290 citations

Evidence of Nonlinearity in Daily Stock Returns

1985 • 266 citations

An examination of foreign exchange risk under fixed and floating rate regimes

1977 • 240 citations

NEAREST‐NEIGHBOUR METHODS FOR TIME SERIES ANALYSIS

1987 • 211 citations

On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83

1988 • 177 citations

Stock prices under time-varying dividend risk

1988 • 150 citations

Unit roots in economic time series: a selective survey

1988 • 116 citations

Non-Parametric Estimation of Econometric Functionals

1988 • 114 citations

A Model of Stochastic Process Switching

1983 • 96 citations

Semiparametric econometrics: A survey

1988 • 92 citations

ARCH and Bilinear Time Series Models: Comparison and Combination

1986 • 86 citations

Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach

1991 • 76 citations

Empirical modeling of exchange rate dynamics

1989 • 73 citations

Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate

1988 • 52 citations

Martingale-Like Behavior of Prices and Interest Rates

1984 • 40 citations

A nonlinear stochastic rational expectations model of exchange rates

1992 • 34 citations

Risk, Uncertainty and Exchange Rates

1987 • 27 citations

The equity premium and time-varying risk behavior

1988 • 23 citations

An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination

1989 • 13 citations

The Mutual Amplification Effect of Exchange Rate Volatility and Unresponsive Trade Prices

1988 • 9 citations

Risk, Uncertainty and Exchange Rates

1987 • 4 citations