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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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    File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(05)00213-X
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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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    19. Qi, Min & Wu, Yangru, 2003. "Nonlinear prediction of exchange rates with monetary fundamentals," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 623-640, December.
    20. Pesaran, M Hashem & Timmermann, Allan, 2000. "A Recursive Modelling Approach to Predicting UK Stock Returns," Economic Journal, Royal Economic Society, vol. 110(460), pages 159-91, January.
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    38. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders," NBER Working Papers 7417, National Bureau of Economic Research, Inc.
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