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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Out-of-sample forecasting performance of single equation monetary exchange rate models in Norwegian currency markets |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Applied Financial Economics |
| Publisher | Taylor & Francis |
| Geographical Reach | international |
| ISSN | 0960-3107 |
| Volume | 9 |
| Number | 6 |
| Page Range | 545 - 550 |
| Date | 1999 |
| Abstract Text | This study compares the out-of-sample forecasting performance of single-equation monetary exchange rate models against the random walk. We look at spot exchange rates of Norwegian Krone vis-à-vis four major currencies from June 1986 until October 1996. We find that an error correction model outperforms the random walk in out-of-sample forecasting exercises at six and twelve month horizons. |
| Digital Object Identifier | 10.1080/096031099332005 |
| Other Identification Number | merlin-id:11797 |
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