On the Sources of Uncertainty in Exchange Rate Predictability

We analyse the role of time-variation in coefficients and other sources of uncertainty in exchange rate forecasting regressions. Our techniques incorporate the notion that the relevant set of predictors and their corresponding weights, change over time. We find that predictive models which allow for...

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Bibliographic details
Main Author: Korobilis, Dimitris
Byrne, Joseph P
Ribeiro, Pinho J
Format: Publication
Language: English
Place of publication: Wiley 01.09.2014
ORCID: 0000-0001-9146-3008
Data of publication: 2014-09-01
Classification Codes:

Online Access: available in Bonn?
Database: OpenAIRE (Open Access)
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