Title of article
The predictability of exchange rate volatility
Author/Authors
Burkhard Raunig، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
9
From page
220
To page
228
Abstract
The model-free test procedure used in this paper suggests that exchange rate volatility is hard to predict more than 1 month ahead with time series methods. Moreover, predictability declines rather quickly with horizon.
Keywords
Linear structural equations , Identification , Maximal invariants , Invariant tests
Journal title
Economics Letters
Serial Year
2008
Journal title
Economics Letters
Record number
436391
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