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On the short-term predictability of exchange rates: A BVAR time-varying parameters approach

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  • Sarantis, Nicholas
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 30 (2006)
    Issue (Month): 8 (August)
    Pages: 2257-2279

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    Handle: RePEc:eee:jbfina:v:30:y:2006:i:8:p:2257-2279

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    Cited by:
    1. Angelo Ranaldo, 2007. "Segmentation and Time-of-Day Patterns in Foreign Exchange Markets," Working Papers 2007-03, Swiss National Bank.
    2. Axel Grossmann & Marc Simpson & Teofilo Ozuna, 2014. "Investigating the PPP hypothesis using constructed U.S. dollar equilibrium exchange rate misalignments over the post-bretton woods period," Journal of Economics and Finance, Springer, Springer, vol. 38(2), pages 235-268, April.
    3. Grossmann, Axel & Simpson, Marc W., 2010. "Forecasting the Yen/U.S. Dollar exchange rate: Empirical evidence from a capital enhanced relative PPP-based model," Journal of Asian Economics, Elsevier, vol. 21(5), pages 476-484, October.
    4. Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers, Business School - Economics, University of Glasgow 2009_25, Business School - Economics, University of Glasgow, revised Feb 2010.

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