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Can Markov switching models predict excess foreign exchange returns?

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How well do monetary fundamentals forecast exchange rates?

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Forecasting foreign exchange volatility : is implied volatility the best we can do?

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The empirical performance of option based densities of foreign exchange

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Forecasting exchange rates of major currencies with long maturity forward rates

Darvas, Zsolt M.; Schepp, Zoltán - 2020

This paper presents unprecedented exchange rate forecasting results, based upon a new model that approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate. The theoretical derivation of our forecasting...

Persistent link: https://www.econbiz.de/10012302033