Forecasting exchange rates using TSMARS
✍ Scribed by Jan G De Gooijer; Bonnie K Ray; Horst Kräger
- Book ID
- 117427897
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 237 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0261-5606
No coin nor oath required. For personal study only.
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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
## Abstract Forecasting currency exchange rates is an important financial problem that has received much attention especially because of its intrinsic difficulty and practical applications. The statistical distribution of foreign exchange rates and their linear unpredictability are recurrent themes