Can affine term structure models help us predict exchange rates?

Journal of Money, Credit and Banking

Volumn 41, Issue 4, 2009, Pages 755-766

  De Los Rios, Antonio Diez ^a  

^a BANK OF CANADA   (Canada)

Author keywords

Affine term structure; Exchange rates; Interest rates; Out of sample predictability

Indexed keywords

EID: 65649087577     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1538-4616.2009.00230.x     Document Type: Short Survey

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