On the short-term predictability of exchange rates: A BVAR time-varying parameters approach

Journal of Banking and Finance

Volumn 30, Issue 8, 2006, Pages 2257-2279

  Sarantis, Nicholas ^a  

^a LONDON METROPOLITAN UNIVERSITY   (United Kingdom)

Author keywords

BVAR model; Exchange rate forecasting; Profitability of forecasts; Short horizon; Time varying parameters

Indexed keywords

EID: 33746002635     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.07.013     Document Type: Article

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