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A Bayesian approach to foreign exchange forecasting

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  • Mahdavi, Mahnaz

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  • Mahdavi, Mahnaz, 1997. "A Bayesian approach to foreign exchange forecasting," Global Finance Journal, Elsevier, vol. 8(1), pages 15-31.
    • Handle: RePEc:eee:glofin:v:8:y:1997:i:1:p:15-31
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    References listed on IDEAS

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    1. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-853, October.
    2. Howard, Charles T. & D'Antonio, Louis J., 1984. "A Risk-Return Measure of Hedging Effectiveness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(1), pages 101-112, March.
    3. Meese, Richard A & Singleton, Kenneth J, 1982. "On Unit Roots and the Empirical Modeling of Exchange Rates," Journal of Finance, American Finance Association, vol. 37(4), pages 1029-1035, September.
    4. Cumby, Robert E. & Modest, David M., 1987. "Testing for market timing ability : A framework for forecast evaluation," Journal of Financial Economics, Elsevier, vol. 19(1), pages 169-189, September.
    5. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.
    6. Anderson, Ronald W & Danthine, Jean-Pierre, 1983. "Hedger Diversity in Futures Markets," Economic Journal, Royal Economic Society, vol. 93(37), pages 370-389, June.
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