Forecast Exchange Rate with Box Jenkins Model: An Empirical Study

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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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Bibliographic Details
Main Author:	Zheng, Jingwen
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2012
Subjects:	exchange rate forecast Box-Jenkins’ methodology ARIMA random walk market efficiency hypothesis
Online Access:	https://eprints.nottingham.ac.uk/25759/

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