Covered interest parity: a forecasting approach to estimate the neutral band
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More about this item
Keywords
covered interest parity; carry trade; stochastic volatility; predictive distribution;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IFN-2024-09-16 (International Finance)
- NEP-MON-2024-09-16 (Monetary Economics)
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