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: Byrne, Joseph
Korobilis, Dimitris
Ribeiro, Pinho J
Format: Publication
Language: English
Place of publication: Unpublished 26.09.2014
Data of publication: 2014-09-26
Subjects:
Online Access: available in Bonn?
Database: OpenAIRE
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