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Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market »

Source: Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Volume/Issue: 1990/43

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1990

ISBN: 9781451975000

Keywords: survey, exchange rate, foreign exchange, foreign exchange market, forecasting

This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated...

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market »

Volume/Issue: 1990/43

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1990

DOI: http://dx.doi.org/10.5089/9781451975000.001

ISBN: 9781451975000

Keywords: survey, exchange rate, foreign exchange, foreign exchange market, forecasting

This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated...

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates »

Volume/Issue: 1998/29

Series: IMF Working Papers

Author(s): Jenny Lye

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1998

DOI: http://dx.doi.org/10.5089/9781451844771.001

ISBN: 9781451844771

Keywords: ARCH, Generalized Student t Distributions, Modeling Variance, Exchange Rates, exchange rate, skewness, normal distribution, statistics

This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptoku...

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates »

Source: Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates

Volume/Issue: 1998/29

Series: IMF Working Papers

Author(s): Jenny Lye

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1998

ISBN: 9781451844771

Keywords: ARCH, Generalized Student t Distributions, Modeling Variance, Exchange Rates, exchange rate, skewness, normal distribution, statistics

This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptoku...