Carriero, A.; Kapetanios, G.; Marcellino, M. - In: International Journal of Forecasting 25 (2009) 2, pp. 400-417
Models based on economic theory have serious problems forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a...