Aristidou, Chrystalleni; Lee, Kevin; Shields, Kalvinder K. - In: Essays in honor of M. Hashem Pesaran : prediction and …, (pp. 199-215). 2022
A novel approach to modeling exchange rates is presented based on a set of models distinguished by the drivers of the rate and regime duration. The models are combined into a “meta model” using model averaging and non-nested hypothesis-testing techniques. The meta model accommodates periods...
