The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions-Reference-Cited by-同舟云学术

The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions

Published:2018-07-27 Issue:7 Volume:37 Page:705-719
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Christou Christina¹^ORCID,Gupta Rangan²^ORCID,Hassapis Christis³,Suleman Tahir⁴⁵^ORCID

Affiliation:

1. School of Economics; University of Cyprus; Latsia Cyprus

2. Department of Economics; University of Pretoria; Gauteng South Africa

3. Department of Economics, Faculty of Social Sciences and Education; University of Cyprus; Nicosia Cyprus

4. Department of Economics and Finance, Victoria Business School; Victoria University of Wellington; Wellington New Zealand

5. School of Business; Wellington Institute of Technology Lower Hutt; New Zealand

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modelling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/for.2539/fullpdf

Reference41 articles.

1. On the unstable relationship between exchange rates and macroeconomic fundamentals;Bacchetta;Journal of International Economics,2013

2. Measuring economic policy uncertainty;Baker;Quarterly Journal of Economics,2016

3. Does economic policy uncertainty predict exchange rate returns and volatility? Evidence from a nonparametric causality-in-quantiles test;Balcilar;Open Economies Review,2016

4. Risk, monetary policy, and the exchange rate;Benigno;NBER Macroeconomics Annual,2012

5. The asset-pricing implications of government economic policy uncertainty;Brogaard;Management Science,2015

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