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Trend fundamentals and exchange rate dynamics
Huber, Florian; Kaufmann, Daniel - 2019
We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …
Persistent link: https://www.econbiz.de/10012118184
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Trend fundamentals and exchange rate dynamics
Huber, Florian; Kaufmann, Daniel - 2015
We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six …
Persistent link: https://www.econbiz.de/10011417862
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Trend fundamentals and exchange rate dynamics
Huber, Florian; Kaufmann, Daniel - 2019
We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …
Persistent link: https://www.econbiz.de/10012271235
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Trend Fundamentals and Exchange Rate Dynamics
Huber, Florian - 2015
We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six …
Persistent link: https://www.econbiz.de/10013015703
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Forecasting exchange rates : the time-varying relationship between exchange rates and Taylor rule fundamentals
Haskamp, Ulrich - 2017
There is empirical evidence for a time-varying relationship between exchange rates and fundamentals. Such a relationship with time-varying coefficients can be estimated by a Kalman filter model. A Kalman filter estimates the coefficients recursively depending on the prediction error of the...
Persistent link: https://www.econbiz.de/10011700704
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Taylor Rule Deviations and Out-of-Sample Exchange Rate Predictability
Ince, Onur - 2019
The Taylor rule has become the dominant model for academic evaluation of out-of-sample exchange rate predictability. Two versions of the Taylor rule model are the Taylor rule fundamentals model, where the variables that enter the Taylor rule are used to forecast exchange rate changes, and the...
Persistent link: https://www.econbiz.de/10012904307
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Monetary policy, model uncertainty and exchange rate volatility
Markiewicz, Agnieszka - 2010
This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …
Persistent link: https://www.econbiz.de/10003937806
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Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets
Lux, Thomas - 2016
Persistent link: https://www.econbiz.de/10012991383
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Genetic learning as an explanation of stylized facts of foreign exchange markets
Lux, Thomas; Schornstein, Sascha - 2002
(unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated …
Persistent link: https://www.econbiz.de/10001739289
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Genetic learning as an explanation of stylized facts of foreign exchange markets
Lux, Thomas; Schornstein, Sascha - 2002
(unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated …
Persistent link: https://www.econbiz.de/10011431839