This paper compares the out-of-sample forecasting accuracy of a wide class of structural, BVAR and VAR models for major sterling exchange rates over different forecast horizons. As representative structural models we employ a portfolio balance model and a modified uncovered interest parity model, wi
✦ LIBER ✦
Naı̈ve, ARIMA, nonparametric, transfer function and VAR models: A comparison of forecasting performance
✍ Scribed by Dimitrios D. Thomakos; John B. Guerard Jr.
- Book ID
- 114174803
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 193 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0169-2070
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