This chapter surveys recent theoretical and empirical contributions on foreign exchange rate
determination. The chapter first examines monetary models under uncovered interest parity …

This chapter summarizes recent literature on asymptotic inference about forecasts. Both
analytical and simulation based methods are discussed. The emphasis is on techniques …

This paper introduces the model confidence set (MCS) and applies it to the selection of
models. A MCS is a set of models that is constructed such that it will contain the best model …

We re-assess exchange rate prediction using a wider set of models that have been
proposed in the last decade: interest rate parity, productivity based models, and a composite …

We consider using out-of-sample mean squared prediction errors (MSPEs) to evaluate the
null that a given series follows a zero mean martingale difference against the alternative that …

This chapter discusses estimation, specification testing, and model selection of predictive
density models. In particular, predictive density estimation is briefly discussed, and a variety …

Using novel real-time data on a broad set of economic fundamentals for five major US dollar
exchange rates over the recent float, we employ a predictive procedure that allows the …

We examine the relative predictive power of the sticky price monetary model, uncovered
interest parity, and a transformation of net exports and net foreign assets. In addition to …

This paper outlines testing procedures for assessing the relative out-of-sample predictive
accuracy of multiple conditional distribution models. The tests that are discussed are based …

We introduce block bootstrap techniques that are (first order) valid in recursive estimation
frameworks. Thereafter, we present two examples where predictive accuracy tests are made …