Can a relative purchasing power parity-based model outperform a random walk in forecasting short-term exchange rates?
Year of publication: |
2011
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Authors: | Simpson, Marc W. ; Grossmann, Axel |
Published in: |
International journal of finance & economics : IJFE. - Chichester, Sussex : Wiley, ISSN 1076-9307, ZDB-ID 1324693-8. - Vol. 16.2011, 4, p. 375-392
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Subject: | Forecasting | foreign exchange rates | relative purchasing power parity | random walk short-term horizons | Wechselkurs | Exchange rate | Kaufkraftparität | Purchasing power parity | Prognoseverfahren | Forecasting model | Random Walk | Random walk | Theorie | Theory | Prognose | Forecast | Schätzung | Estimation | Einheitswurzeltest | Unit root test |
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