A general framework for predicting returns from multiple currency investments

Journal of Economic Dynamics and Control

Volumn 22, Issue 7, 1998, Pages 977-1000

  Christou, Costas ^a   Swamy, P A V B ^b   Tavlas, George S ^a  

^a INTERNATIONAL MONETARY FUND   (United States)

^b OFFICE OF THE COMPTROLLER OF THE CURRENCY   (United States)

Author keywords

ARCH models; C22; C51; F31; Forecasting; Optimal portfolios; Random coefficient models

Indexed keywords

EID: 0040428384     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(97)00116-4     Document Type: Article

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