A Bayesian vector error correction model for forecasting exchange rates.

DOI10.1016/S0305-0548(02)00041-2zbMath1036.91042OpenAlexW2099481069MaRDI QIDQ1870845

Mark T. Leung, An-Sing Chen

Publication date: 14 May 2003

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0305-0548(02)00041-2

zbMATH Keywords

ForecastingBayesianvector autoregressionError correction modelAsia Pacific emerging economyCurrency exchange

Mathematics Subject Classification ID

Bayesian inference (62F15) Stochastic models in economics (91B70)

Cites Work

• Statistical analysis of cointegration vectors
• Forecasting and conditional projection using realistic prior distributions

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