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A reconsideration of the meese-rogoff puzzle : an alternative approach to model estimation and forecast evaluation

Burns, Kelly - In: Multinational finance journal : MF ; quarterly … 20 (2016) 1, pp. 41-83

Persistent link: https://www.econbiz.de/10012106895

Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 25/27, pp. 3107-3118

Persistent link: https://www.econbiz.de/10010418113

Cointegration, error correction and exchange rate forecasting

Moosa, Imad A.; Vaz, John J. - In: Journal of international financial markets, … 44 (2016), pp. 21-34

Persistent link: https://www.econbiz.de/10011690363

Forecasting implied volatility in foreign exchange markets : a functional time series approach

Kearney, Fearghal; Cummins, Mark; Murphy, Finbarr - In: The European journal of finance 24 (2018) 1/3, pp. 1-18

Persistent link: https://www.econbiz.de/10012244257

Forecast intervals for US/EURO foreign exchange rate

Bratu, Mihaela - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 257-271

The main goal of this research is to construct and assess forecast intervals for monthly US/EURO foreign exchange rate. The point forecasts used to build the intervals are based on a vector autoregression (VAR model) and on a Bayesian VAR model for data starting with the first month of 1999. The...

Persistent link: https://www.econbiz.de/10011694420