Predicting daily highs and lows of exchange rates: a cointegration analysis
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Publication:5123415
DOI10.1080/02664760802578304OpenAlexW1998357898MaRDI QIDQ5123415
Angela W. W. He, Alan T. K. Wan
Publication date: 28 September 2020
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664760802578304
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Cites Work
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- Bayesian model averaging and exchange rate forecasts
- Statistical analysis of cointegration vectors
- Extended tabulations for Dickey-Fuller tests
- Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
- A multivariate conditional autoregressive range model
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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