A mixed-frequency approach for exchange rates predictions

@inproceedings{Mattera2021AMA,
  title={A mixed-frequency approach for exchange rates predictions},
  author={Raffaele Mattera and Michelangelo Misuraca and Germana Scepi and Maria Spano},
  year={2021}
}
Selecting an appropriate statistical model to forecast exchange rates is still today a relevant issue for policymakers and central bankers. The so-called Meese and Rogoff puzzle assesses that exchange rate fluctuations are unpredictable. In the literature, a lot of studies tried to solve the puzzle finding alternative predictors and statistical models based on temporal aggregation. In this paper, we propose an approach based on mixed frequency models to overcome the lack of information caused… 

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