Artikel
The out-of-sample forecasting performance of variable parameter exchange rate models in South Africa
In this article the out-of-sample forecasting performance of exchange rate determination is examined without imposing the restriction that coefficients are fixed over time. Both fixed and variable coefficient versions of conventional structural models are considered, with and without a lagged dependent variable. A Variable Parameter Regression (VPR) technique based on recursive application of the Kalman filter is used to improve the predictive performance of a class oi monetary exchange rate models.
- Language
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Englisch
- Bibliographic citation
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Journal: South African Journal of Business Management ; ISSN: 2078-5976 ; Volume: 26 ; Year: 1995 ; Issue: 2 ; Pages: 64-71 ; Cape Town: African Online Scientific Information Systems (AOSIS)
- Classification
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Management
- Event
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Geistige Schöpfung
- (who)
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Wesso, Gilbert
- Event
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Veröffentlichung
- (who)
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African Online Scientific Information Systems (AOSIS)
- (where)
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Cape Town
- (when)
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1995
- DOI
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doi:10.4102/sajbm.v26i2.825
- Handle
- Last update
- 10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Wesso, Gilbert
- African Online Scientific Information Systems (AOSIS)
Time of origin
- 1995
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