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...

Full description

Saved in:
Bibliographic details
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
EISSN: 1099-1255
Discipline: Economics
Online Access: Fulltext
Database: Wiley-Blackwell Open Access Titles
Wiley Free Content
Database information Databases - DBIS