Potì, Valerio; Siddique, Akhtar - In: Journal of International Money and Finance 36 (2013) C, pp. 86-106
In this paper, we study predictability of exchange rates and explore determinants of its dynamics over time. We model … the admissible amount of predictability in two ways, each corresponding in a stylized manner to a broad class of rational … the former class of models but little evidence against the latter, except that predictability itself is predictable. Our …