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HI OutofSample Forecasts of the Nominal Exchange Rate
Further Issues in Evaluating Nonlinear Forecasting Exchange Rate Models
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arbitrage autoregressive calculated Clarida and Taylor Cointegration competing models context CSTV currencies denotes density forecast accuracy Diebold dollar exchange rates Econometric empirical evidence Engel equal density forecast equilibrium level estimated exchange rate adjustment exchange rate behavior exchange rate forecasting exchange rate models exchange rate movements forward exchange rate forward premia forward rates framework implied International Economics Jorion Journal of International linear VECM 25 literature long-horizon long-run PPP M. P. Taylor Markov-switching model Markov-switching VECM 26 mean reversion models Mx Money and Finance MSIH-VECM nominal exchange rate Nonlinear Dynamics nonlinear models null hypothesis observed violation rate one-week-ahead parameter percent point forecasts probability density functions Purchasing Power Parity random walk rational expectations real exchange rate Recent Float regimes Reversion in Real RMSE sample Sarno spot exchange rate spot rate statistical significance structure of forward target violation rate term structure test statistic transactions costs true predictive density unit root Valente