Factor Model Forecasts of Exchange Rates
收藏NBER2012-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w18382
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资源简介：
We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate
提供机构：
美国国家经济研究局
创建时间：
2012-09-01
