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Forecasting exchange rates with a large Bayesian VAR · Study

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ArticleForecasting exchange rates with a large Bayesian VAR

Andrea Carriero2009

OA

Articlegreen2009

Forecasting exchange rates with a large Bayesian VAR

Andrea Carriero · George Kapetanios · Massimiliano Giuseppe Marcellino

169 citations·0/0 files stored·International Journal of Forecasting

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 169 citations exist upstream.

References

1983Empirical exchange rate models of the seventies 2006Tests of Conditional Predictive Ability 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience 1983Forecasting and Conditional Projection Using Realistic Prior Distributions 1984Forecasting and conditional projection using realistic prior distributions 1995Exchange rates and fundamentals: Evidence on long-horizon predictability 1998Bayesian Methods for Dynamic Multivariate Models 2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series

Cited by

2018Modeling and Forecasting Regional Tourism Demand Using the Bayesian Global Vector Autoregressive (BGVAR) Model 2017Integrating dynamic fuzzy C-means, data envelopment analysis and artificial neural network to online prediction performance of companies in stock exchange 2015Model uncertainty in Panel Vector Autoregressive models 2012Forecasting government bond yields with large Bayesian vector autoregressions 2012Quantitative Trendspotting 2013Forecasting with factor-augmented error correction models 2012Prior Selection for Vector Autoregressions 2018AdaBoost-LSTM Ensemble Learning for Financial Time Series Forecasting

Details

Year2009

Typearticle

Published2009-02-25

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations169

Files0 public / 0

ShelfForecasting Techniques and Applications

Identifiers

doi10.1016/j.ijforecast.2009.01.007

openalex_workW1968720267

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