Exchange rate predictability and dynamic Bayesian learning
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- Joscha Beckmann & Gary Koop & Dimitris Korobilis & Rainer Alexander Schüssler, 2020. "Exchange rate predictability and dynamic Bayesian learning," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 410-421, June.
- Schüssler, Rainer & Beckmann, Joscha & Koop, Gary & Korobilis, Dimitris, 2018. "Exchange rate predictability and dynamic Bayesian learning," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181523, Verein für Socialpolitik / German Economic Association.
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Citations
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Cited by:
- Niko Hauzenberger & Florian Huber, 2020.
"Model instability in predictive exchange rate regressions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
- Niko Hauzenberger & Florian Huber, 2018. "Model instability in predictive exchange rate regressions," Papers 1811.08818, arXiv.org, revised Dec 2018.
- Hauzenberger, Niko & Huber, Florian, 2018. "Model instability in predictive exchange rate regressions," Department of Economics Working Paper Series 276, WU Vienna University of Economics and Business.
- Niko Hauzenberger & Florian Huber, 2018. "Model instability in predictive exchange rate regressions," Department of Economics Working Papers wuwp276, Vienna University of Economics and Business, Department of Economics.
- Hauzenberger, Niko & Huber, Florian, 2018. "Model instability in predictive exchange rate regressions," Working Papers in Economics 2018-8, University of Salzburg.
- Sheng, Xin & Gupta, Rangan & Salisu, Afees A. & Bouri, Elie, 2022.
"OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning,"
Finance Research Letters, Elsevier, vol. 45(C).
- Xin Sheng & Rangan Gupta & Afees A. Salisu & Elie Bouri, 2021. "OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning," Working Papers 202101, University of Pretoria, Department of Economics.
- Cubadda, Gianluca & Grassi, Stefano & Guardabascio, Barbara, 2025.
"The time-varying Multivariate Autoregressive Index model,"
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More about this item
Keywords
C11; D83; F31; G12; G15; G17; Exchange rates; economic fundamentals; Bayesian vector autoregression; forecasting; dynamic portfolio allocation;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2017-12-18 (Forecasting)
Statistics
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