Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/195422 
Autor:innen: 
Erscheinungsjahr: 
2017
Quellenangabe: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 23 [Publisher:] Universidad Pablo de Olavide [Place:] Sevilla [Year:] 2017 [Pages:] 257-271
Verlag: 
Universidad Pablo de Olavide, Sevilla
Zusammenfassung: 
The main goal of this research is to construct and assess forecast intervals for monthly US/EURO foreign exchange rate. The point forecasts used to build the intervals are based on a vector autoregression (VAR model) and on a Bayesian VAR model for data starting with the first month of 1999. The forecast intervals are based on the prediction error of the previous month. All the interval predictions based on VAR model included the actual values from 2014. The probability that the intervals based on BVAR model include the registered values of exchange rate is less than 0.8, according to likelihood ratio and chi-square tests.
Schlagwörter: 
forecast intervals
exchange rate
VAR model
Bayesian VAR model
JEL: 
C51
C53
Creative-Commons-Lizenz: 
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Dokumentart: 
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