Out-of-sample forecasting of foreign exchange rates : the band spectral regression and LASSO
Year of publication: |
2022
|
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Authors: | Wada, Tatsuma |
Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 128.2022, p. 1-24
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Subject: | Band Spectral Regression | Bayesian Model Averaging | Exchange Rate Models | Frequency Domain | LASSO | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Wechselkurs | Exchange rate | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference |
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