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Exchange Rate Forecasting: Results from a Threshold Autoregressive Model

✍ Scribed by Michael K. Pippenger; Gregory E. Goering


Book ID
110260985
Publisher
Springer US
Year
1998
Tongue
English
Weight
120 KB
Volume
9
Category
Article
ISSN
0923-7992

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## Abstract This study examines the forecasting accuracy of alternative vector autoregressive models each in a seven‐variable system that comprises in turn of daily, weekly and monthly foreign exchange (FX) spot rates. The vector autoregressions (VARs) are in non‐stationary, stationary and error‐co