The out-of-sample forecasting performance of variable parameter exchange rate models in South Africa
South African Journal of Business Management
| Field | Value | |
| Title | The out-of-sample forecasting performance of variable parameter exchange rate models in South Africa | |
| Creator | Wesso, Gilbert | |
| Description | In this article the out-of-sample forecasting performance of exchange rate determination is examined without imposing the restriction that coefficients are fixed over time. Both fixed and variable coefficient versions of conventional structural models are considered, with and without a lagged dependent variable. A Variable Parameter Regression (VPR) technique based on recursive application of the Kalman filter is used to improve the predictive performance of a class oi monetary exchange rate models. | |
| Publisher | AOSIS | |
| Date | 1995-06-30 | |
| Identifier | 10.4102/sajbm.v26i2.825 | |
| Source | South African Journal of Business Management; Vol 26, No 2 (1995); 64-71 2078-5976 2078-5585 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajbm.org/index.php/sajbm/article/view/825/759
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