Forecasting exchange rates using cointeg
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Adrian Trapletti; Alois Geyer; Friedrich Leisch
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Article
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2002
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John Wiley and Sons
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English
β 449 KB
## Abstract We present a cointegration analysis on the triangle (USDβDEM, USDβJPY, DEMβJPY) of foreign exchange rates using intraβday data. A vector autoregressive model is estimated and evaluated in terms of outβofβsample forecast accuracy measures. Its economic value is measured on the basis of t