Amat, Christophe; Michalski, Tomasz; Stoltz, Gilles - 2014
-month forecast horizon which beat the no-change forecast. Fundamentals thus contain useful information and exchange rates …Using methods from machine learning we show that fundamentals from simple exchange rate models (PPP or UIRP) or Taylor …-rule based models lead to improved exchange rate forecasts for major currencies over the floating period era 1973--2014 at a 1 …