Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration
Year of publication: |
2005-03
|
---|---|
Authors: | Tol, Michel R van ; Wolff, Christian C |
Institutions: | C.E.P.R. Discussion Papers |
Subject: | foreign exchange | multivariate threshold cointegration | TAR models |
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