Point, interval and density forecasts of exchange rates with time varying parameter models
Author:
Affiliation:
1. Swiss National Bank Zürich Switzerland
2. Bocconi University and Innocenzo Gasparini Institute for Economic Research Milan Italy
3. Centre for Economic Policy Research London UK
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/rssa.12273
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4. The contribution of economic fundamentals to movements in exchange rates
5. Forecasting exchange rates with a large Bayesian VAR
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