over the period 1973-2011, this article finds that both the factor model and its PPP and TR fundamentals augmented models …

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … constructed, considering forecast horizons of 1 to 22 steps head. The study finds that no forecast gains over a simple AR(1 …) specification exist at any of the forecast horizons that are considered, regardless of whether point or density forecasts are …

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be …

co-integrating relationship between the nominal exchange rate and monetary fundamentals forms the basis of the monetary … and the monetary fundamentals as the channel for the adjustment process of deviations from the long-run equilibrium …

of models to include Taylor rule fundamentals, yield curve factors, and incorporate shadow rates and risk and liquidity … correction and firstdifference specifications. We examine model performance at various forecast horizons (1 quarter, 4 quarters …

markets to economic fundamentals. In the long run, the exchange rate is determined consistent with a monetary approach to …

exchange rates to the underlying macroeconomic determinants further reveals that fundamentals-based linear models generally …