Modeling and Forecasting Exchange Rates

Modeling and Forecasting Exchange Rates

This paper investigates models for the euro exchange rate against the currencies of Denmark, Poland, theUnited States, and the United Kingdom. The objective of this paper is to compare different methods of modeling andout-of-sample forecasting. One of the techniques is cointegration relation, which...

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Bibliographic Details
Main Author: Jovita Gudan
Format: Article
Language:English
Published: Lietuvos statistikų sąjunga, Lietuvos statistikos departamentas 2016-12-01
Series:Lithuanian Journal of Statistics
Subjects:
exchange rate
random walk
vector error correction model
forecast
Online Access:https://www.journals.vu.lt/statisticsjournal/article/view/13864

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