Trapletti, Adrian; Geyer, Alois; Leisch, Friedrich - In: Journal of Forecasting 21 (2002) 3, pp. 151-66
We present a cointegration analysis on the triangle (USD-DEM, USD-JPY, DEM-JPY) of foreign exchange rates using intra-day data. A vector autoregressive model is estimated and evaluated in terms of out-of-sample forecast accuracy measures. Its economic value is measured on the basis of trading...