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Forecasting exchange rates using panel model and model averaging

✍ Scribed by Garratt, Anthony; Mise, Emi


Book ID
121426882
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
369 KB
Volume
37
Category
Article
ISSN
0264-9993

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## Abstract We present a cointegration analysis on the triangle (USD–DEM, USD–JPY, DEM–JPY) of foreign exchange rates using intra‐day data. A vector autoregressive model is estimated and evaluated in terms of out‐of‐sample forecast accuracy measures. Its economic value is measured on the basis of t