Forecast Exchange Rate with Box Jenkins Model: An Empirical Study
Box and Jenkins (1970) introduced a family of linear stochastic models that are now referred as Box-Jenkins or ARIMA model. This paper practices the Box-Jenkins’ methodology, obtains the ARIMA models with British pound/U.S. dollar exchange rates. A comparison is given between forecast performance of...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2012
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| Online Access: | https://eprints.nottingham.ac.uk/25759/ |