The main goal of this article is to provide an answer to the question: does anything forecast
exchange rates, and if so, which variables? It is well known that exchange rate fluctuations …

In this study, we forecast the realized volatility of the S&P 500 index using the
heterogeneous autoregressive model for realized volatility (HAR-RV) and its various …

The forecasting literature has identified two important issues:(i) several predictors have
substantial and statistically significant predictive content, although only sporadically, and it is …

We utilize a fundamentals-based component volatility model to forecast the short-run
volatility of exchange rate changes using monetary fundamentals quoted at different …

The performance of six classes of models in forecasting different types of economic series is
evaluated in an extensive pseudo out‐of‐sample exercise. One of these forecasting models …

Structural changes often occur in economics and finance due to changes in preferences,
technologies, institutional arrangements, policies, crises, etc. Improving forecast accuracy of …

An expanding literature articulates the view that Taylor rules are helpful in predicting
exchange rates. In a changing world, however, Taylor rule parameters may be subject to …

In a unified framework, we examine four sources of uncertainty in exchange rate forecasting
models:(i) random variations in the data,(ii) estimation uncertainty,(iii) uncertainty about the …

We propose oil price volatility as a new fundamental for exchange rate forecasting. This
fundamental parallels recent theoretical developments in international finance to resolve the …

We consider how an investor in the foreign exchange market can exploit predictive
information by means of flexible Bayesian inference. Using a variety of vector autoregressive …