Identifying exchange rate common factors

DOI10.1111/IERE.12334zbMATH Open1419.91505OpenAlexW3128959100MaRDI QIDQ4629237FDOQ4629237

Authors: Ryan Greenaway-McGrevy, Nelson C. Mark, Donggyu Sul, Jyh-Lin Wu 

Publication date: 21 March 2019

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w23726.pdf

Recommendations

• Factor model forecasts of exchange rates
• scientific article; zbMATH DE number 5010681
• A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates
• scientific article; zbMATH DE number 1260476
• On the sources of uncertainty in exchange rate predictability

zbMATH Keywords

stochastic discount factorsexchange rate returnsprincipal components forecasting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Cited In (5)

• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Detection of units with pervasive effects in large panel data models
• On the sources of uncertainty in exchange rate predictability
• Factor model forecasts of exchange rates
• Depth-weighted means of noisy data: an application to estimating the average effect in heterogeneous panels

This page was built for publication: Identifying exchange rate common factors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4629237)