Exchange rate predictability and dynamic Bayesian learning
Summary We consider how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of vector autoregressive models, the investor is able, each period, to learn about important data features. The developed methodology synthes...
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| Volume: | 35 |
|---|---|
| Main Author: |
Beckmann, Joscha
Koop, Gary Korobilis, Dimitris Schüssler, Rainer Alexander |
| Format: | Journal Article |
| Language: | English |
| Place of publication: |
01.06.2020 |
| published in: | Journal of applied econometrics (Chichester, England) Vol. 35; no. 4; pp. 410 - 421 |
| Data of publication: | June/July 2020 |
| ISSN: |
0883-7252 1099-1255 |
| EISSN: |
1099-1255 |
| Discipline: | Economics |
| Online Access: |
Fulltext |
| Database: | Wiley Free Content Wiley-Blackwell Open Access Titles Database information Databases - DBIS |