Empirical exchange rate models and currency risk: some evidence from density forecasts
UNSPECIFIED (2005) Empirical exchange rate models and currency risk: some evidence from density forecasts. In: 8th International Conference on Macroeconomic Analysis and International Finance, Univ Crete, Rethymno, GREECE, MAY 27-29, 2004. Published in: JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 24 (2). pp. 363-385.Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.jimonfin.2004.12.011
A large literature in exchange rate economics has investigated the forecasting performance of empirical exchange rate models using conventional point forecast accuracy criteria. However, in the context of managing exchange rate risk, interest centers on more than just point forecasts. This paper provides a formal evaluation of recent exchange rate models based on the term structure of forward exchange rates, which previous research has shown to be satisfactory in point forecasting, in terms of density forecasting performance. The economic value of the exchange rate density forecasts is investigated in the context of an application to a simple risk management exercise. (c) 2004 Elsevier Ltd. All rights reserved.
|Item Type:||Conference Item (UNSPECIFIED)|
|Subjects:||H Social Sciences > HG Finance|
|Journal or Publication Title:||JOURNAL OF INTERNATIONAL MONEY AND FINANCE|
|Publisher:||ELSEVIER SCI LTD|
|Number of Pages:||23|
|Page Range:||pp. 363-385|
|Title of Event:||8th International Conference on Macroeconomic Analysis and International Finance|
|Location of Event:||Univ Crete, Rethymno, GREECE|
|Date(s) of Event:||MAY 27-29, 2004|
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