Blar i Norges Banks vitenarkiv på forfatter "Ribeiro, Pinho J."
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Forecasting Commodity Currencies: The Role of Fundamentals with Short-Lived Predictive Content
Foroni, Claudia; Ravazzolo, Francesco; Ribeiro, Pinho J. (Working Papers;14/2015, Working paper, 2015)Recent evidence highlights that commodity price changes exhibit a short-lived, yet robust contemporaneous effect on commodity currencies, which is mainly detectable in daily-frequency data. We use MIDAS models in a Bayesian ...