Byrne, Joseph P.; Korobilis, Dimitris; Ribeiro, Pinho J. - Department of Economics, Adam Smith Business School - 2014
We analyse the role of time-variation in coe¢ cients and other sources of un- certainty in exchange rate forecasting regressions. Our techniques incorporate the notion that the relevant set of predictors and their corresponding weights, change over time. We Önd that predictive models which...