Sentiment-induced regime switching in density forecasts of emerging markets’ exchange rates. Calibrated simulation trumps estimated autoregression
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More about this item
Keywords
evaluating forecasts; regime switching; density forecast; model selection; Value at Risk;All these keywords.
JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
Statistics
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