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Empirical exchange rate models and currency risk: some evidence from density forecasts

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Author Info
Sarno, Lucio
Valente, Giorgio

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 24 (2005)
Issue (Month): 2 (March)
Pages: 363-385
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Handle: RePEc:eee:jimfin:v:24:y:2005:i:2:p:363-385

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Web page: http://www.elsevier.com/locate/inca/30443

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  1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales. [Downloadable!]
    Other versions:
  2. Humala, Alberto, 2007. "Expectativas de depreciación y diferencial de tasas de interés: ¿Hay regímenes cambiantes? El caso de Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 14, pages 77-106. [Downloadable!]
  3. Jian Wang & Jason J. Wu, 2008. "The Taylor rule and forecast intervals for exchange rates," Globalization and Monetary Policy Institute Working Paper 22, Federal Reserve Bank of Dallas. [Downloadable!]
    Other versions:
  4. Saltoglu, Burak & Yazgan, Ege, 2009. "The role of Regime Shifts in the Term Structure of Interest Rates: Further evidence from an Emerging Market," MPRA Paper 18741, University Library of Munich, Germany. [Downloadable!]
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This page was last updated on 2009-12-13.

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