Predictability of Exchange Rate Models: Statistical and Economic Evaluation Approach
This paper seeks to compare the exchange rate predictability of economic fundamental models, including the Uncovered Interest Parity, the Purchasing Power Parity, the Monetary Fundamentals, the Symmetric and Asymmetric Taylor Rules with the benchmark Random walk with drift. Using out-of-sample regre...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2018
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| Online Access: | https://eprints.nottingham.ac.uk/54645/ |