FORECASTING EXCHANGE RATE :A Uni-variate out of sample Approach
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References listed on IDEAS
- Faust, Jon & Rogers, John H. & H. Wright, Jonathan, 2003.
"Exchange rate forecasting: the errors we've really made,"
Journal of International Economics,
Elsevier, vol. 60(1), pages 35-59, May.
- Jon Faust & John H. Rogers & Jonathan H. Wright, 2001. "Exchange rate forecasting: the errors we've really made," International Finance Discussion Papers 714, Board of Governors of the Federal Reserve System (U.S.).
More about this item
KeywordsExchange rate forecasting; univariate analysis; ARIMA; Box- Jenkins methodology; out of sample approach;
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-14 (All new papers)
- NEP-ETS-2005-06-14 (Econometric Time Series)
- NEP-FMK-2005-06-14 (Financial Markets)
- NEP-IFN-2005-06-14 (International Finance)
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