Performance Of Deterministic And Stochastic Trends Models In Forecasting The Behavior Of The Canadian Dollar And The Japanese Yen Against The US Dollar
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Abstract
The literature on modeling and forecasting exchange rate behavior shows that complex forecasting exchange rate models do not often outperform ARIMA models. We show that the same forecasting models applied to forecast the behavior of the Canadian dollar and the Japanese Yen against the US dollar produced varying forecast performance.
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