On the sources of uncertainty in exchange rate predictability

In a unified framework, we examine four sources of uncertainty in exchange rate forecasting models: (i) random variations in the data, (ii) estimation uncertainty, (iii) uncertainty about the degree of time-variation in coefficients, and (iv) uncertainty regarding the choice of the predictor. We fin...

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Bibliographic details
Main Author: Byrne, Joseph P
Korobilis, Dimitris
Ribeiro, Pinho J
Format: Journal Article
Language: English
Place of publication: Wiley 01.02.2018
Data of publication: 2018-02
Bibliography: http://eprints.gla.ac.uk/128611/
10.1111/iere.12271
Online Access: available in Bonn?
Database: University of Glasgow IR Enlighten
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