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Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model · Study

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ArticleModelling and forecasting exchange rates with a Bayesian time-varying coefficient model

Fabio Canova1993

Article1993

Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model

118 citations·0/0 files stored·Journal of Economic Dynamics and Control

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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 — 118 citations exist upstream.

References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1983Empirical exchange rate models of the seventies 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1983Forecasting and Conditional Projection Using Realistic Prior Distributions 1984Forecasting and conditional projection using realistic prior distributions 1977Foundations of Finance.1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?

Cited by

2018Implications of oil prices shocks for the major emerging economies: A comparative analysis of BRICS 1997Is a random walk the best exchange rate predictor?2018Markov-Switching Three-Pass Regression Filter 2021Recurrent Neural Networks and ARIMA Models for Euro/Dollar Exchange Rate Forecasting 2012ClubMed? Cyclical fluctuations in the Mediterranean basin 2013Evaluating changes in the monetary transmission mechanism in the Czech Republic 2024Local projections in unstable environments 2003Bayesian Vars

Details

Year1993

Typearticle

Published1993-01-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations118

Files0 public / 0

ShelfForecasting Techniques and Applications

Identifiers

doi10.1016/0165-1889(93)90071-y

openalex_workW2086443874

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