Factor Model Forecasts of Exchange Rates

DOI10.1080/07474938.2014.944467zbMath1491.62207OpenAlexW3124660442MaRDI QIDQ5080523

Nelson C. Mark, Charles Engel, Kenneth D. West

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.944467

zbMATH Keywords

forecastingexchange ratesfactor models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (11)

Spectral distribution of the sample covariance of high-dimensional time series with unit roots ⋮ Half-lives of currencies and aggregation bias ⋮ Functional time series approach to analyzing asset returns co-movements ⋮ Cointegration Rank Estimation for High-Dimensional Time Series With Breaks ⋮ Depth-weighted means of noisy data: an application to estimating the average effect in heterogeneous panels ⋮ Non-Linear Interactions and Exchange Rate Prediction: Empirical Evidence Using Support Vector Regression ⋮ ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY ⋮ Confidence intervals in regressions with estimated factors and idiosyncratic components ⋮ A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering ⋮ Extreme canonical correlations and high-dimensional cointegration analysis ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

• Approximately normal tests for equal predictive accuracy in nested models
• Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
• Interest rate rules for fixed exchange rate regimes
• Estimating cross-section common stochastic trends in nonstationary panel data
• Asymptotic Inference about Predictive Ability

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