ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY

DOI10.1111/IERE.12271zbMath1403.91270OpenAlexW1691651776MaRDI QIDQ4634439

Dimitris Korobilis, Joseph P. Byrne, Pinho J. Ribeiro

Publication date: 10 April 2018

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

Full work available at URL: http://eprints.gla.ac.uk/128611/7/128611.pdf

zbMATH Keywords

uncertaintyexchange rate predictability

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Statistical methods; economic indices and measures (91B82)

Related Items (1)

BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS

Uses Software

• RiskMetrics

Cites Work

• Approximately normal tests for equal predictive accuracy in nested models
• Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
• Bayesian model averaging and exchange rate forecasts
• Bayesian forecasting and dynamic models.
• Understanding models' forecasting performance
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• MODEL UNCERTAINTY AND EXCHANGE RATE VOLATILITY*
• FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
• IDENTIFYING EXCHANGE RATE COMMON FACTORS
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Asymptotic Inference about Predictive Ability
• Factor Model Forecasts of Exchange Rates
• ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
• Benchmark priors for Bayesian model averaging.

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