Wright, Jonathan H. - Federal Reserve Board (Board of Governors of the … - 2003
method that has been found to be remarkably useful for out-of-sample prediction is simple averaging of the forecasts of … apply this Bayesian Model Averaging approach to pseudo-out-of-sample exchange rate forecasting over the last ten years. I …Exchange rate forecasting is hard and the seminal result of Meese and Rogoff (1983) that the exchange rate is well …