Title of article :
The predictability of exchange rate volatility
Author/Authors :
Burkhard Raunig، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
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
Journal title :
Economics Letters
