Can currency-based risk factors help forecast exchange rates?

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Can currency-based risk factors help forecast exchange rates?

This paper examines time-series predictability of bilateral exchange rates from linear factor models that utilize unconditional and conditional expectations of three currency-based risk factors. Exploiting a comprehensive set of statistical criteria, we find that all versions of the linear factor mo...

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Bibliographic Details
Main Authors:	Ahmed, Shamim, Liu, Xiaoquan, Valente, Giorgio
Format:	Article
Language:	English
Published:	Elsevier 2015
Subjects:	Exchange rates; Out-of-sample predictability; Economic value; Time series; Econometric models
Online Access:	https://eprints.nottingham.ac.uk/36949/

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