premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display … nonlinearities. This paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector …

and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … returns, and correspondingly accurate quantile estimates. Our results hold promise for practical modeling and forecasting of …

provide useful information for forecasting exchange rates. After accounting for currency-specific constants, a 10 percent …. Finally, deviations from relative Big Mac parity seem to be helpful in forecasting relative local currency prices. When the U …

We present theory and evidence that challenges the view that forward premia contain little information regarding …