The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model

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

1987 • 30,456 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979 • 20,919 citations

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

1982 • 19,770 citations

Testing for a unit root in time series regression

1988 • 17,004 citations

Distribution of the Estimators for Autoregressive Time Series With a Unit Root

1979 • 8,550 citations

ARCH modeling in finance

1992 • 4,478 citations

Expected stock returns and volatility

1987 • 4,291 citations

Empirical exchange rate models of the seventies

1983 • 4,141 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

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

1987 • 2,510 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Hypothesis testing when a nuisance parameter is present only under the alternative

1987 • 2,016 citations

Forecasting and testing in co-integrated systems

1987 • 1,885 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

Persistent Trade Effects of Large Exchange Rate Shocks

1989 • 940 citations

Hysteresis, Import Penetration, and Exchange Rate Pass-Through

1989 • 871 citations

The Message in Daily Exchange Rates

2002 • 828 citations

The effect of exchange rate uncertainty on the prices and volume of international trade

1978 • 669 citations

Exchange Rate Variability and the Slowdown in Growth of International Trade

1988 • 636 citations

Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative

1977 • 580 citations

Exchange Rate Pass-Through When Market Share Matters

1989 • 519 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Nonparametric exchange rate prediction?

1990 • 509 citations

Bilateral Trade Flows, the Linder Hypothesis, and Exchange Risk

1987 • 477 citations

Measuring and Analyzing the Effects of Short-Term Volatility in Real Exchange Rates

1986 • 458 citations

The statistical properties of daily foreign exchange rates: 1974–1983

1988 • 452 citations

Real and nominal exchange rates in the long run: An empirical investigation

1990 • 427 citations

The effects of real exchange rate risk on international trade

1983 • 421 citations

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

1990 • 313 citations

Empirical Modeling of Exchange Rate Dynamics

1988 • 294 citations

Exchange rate uncertainty and foreign trade

1989 • 291 citations

The Message in Daily Exchange Rates: A Conditional-Variance Tale

1989 • 290 citations

Real Exchange Rate Volatility and U.S. Bilateral Trade: A Var Approach

1989 • 283 citations

U.S. bilateral trade flows and exchange risk during the floating period

1988 • 209 citations

Theoretical Relations Between Risk Premiums and Conditional Variances

1993 • 209 citations

Exchange Rate Volatility and U. S. Monetary Policy: An ARCH Application

1989 • 192 citations

The impact of exchange-rate volatility on export growth: Some theoretical considerations and empirical results

1987 • 178 citations

Nonlinear, Nonparametric, Nonessential Exchange Rate Estimation

1990 • 159 citations

Exchange-rate variability and trade performance: Evidence for the big seven industrial countries

1986 • 151 citations

Effects of Exchange Rate Volatility on Trade: Some Further Evidence (Effets de l'instabilite des taux de change sur le commerce mondial: nouvelles constatations) (Efectos de la inestabilidad de los tipos de cambio en el comercio internacional: Alguna evidencia adicional)

1985 • 123 citations

Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

1987 • 115 citations

International Trade Flows Under Flexible Exchange Rates

1980 • 83 citations

Empirical modeling of exchange rate dynamics

1989 • 73 citations

Theoretical Relations between Risk Premiums and Conditional Variances

1993 • 54 citations

Exchange Rates, Trade and the U. S. Economy

1986 • 53 citations

Empirical exchange rate models of the seventies: are any fit to survive?

1981 • 52 citations

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

1988 • 52 citations

Exchange rates in the 1980s

1989 • 3 citations