Bissoondeeal, Rakesh K.; Karoglou, Michail; Gazely, … - In: Scottish Journal of Political Economy 58 (2011) 1, pp. 127-152
This paper compares the UK/US exchange rate forecasting performance of linear and nonlinear models based on monetary fundamentals, to a random walk (RW) model. Structural breaks are identified and taken into account. The exchange rate forecasting framework is also used for assessing the relative...