Forecasting Exchange Rate: A time Series Analysis

Kuldeep Kumar, Dilbagh Gill

Research output: Contribution to journalArticleResearchpeer-review

Abstract

There is an increasing importance to forecast the exchange rate as international trading takes the center stage in more and more countries. This paper postulates some simple time series models that can be used for quite effective and accurate forecasts in international forex markets of major international currencies in relation to the Australian dollar. After comparing various time series models, the paper observes that Box-Jenkins AR is the best model for forecasting exchange rates.
Original languageEnglish
Pages (from-to)7-13
Number of pages7
JournalSouth Asian Journal of Management
Volume4
Issue number2
Publication statusPublished - Jul 1997

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Exchange rate forecasting
Time series analysis
Time series models
Exchange rates
Box-Jenkins
International currency
International markets

Cite this

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title = "Forecasting Exchange Rate: A time Series Analysis",
abstract = "There is an increasing importance to forecast the exchange rate as international trading takes the center stage in more and more countries. This paper postulates some simple time series models that can be used for quite effective and accurate forecasts in international forex markets of major international currencies in relation to the Australian dollar. After comparing various time series models, the paper observes that Box-Jenkins AR is the best model for forecasting exchange rates.",
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Forecasting Exchange Rate: A time Series Analysis. / Kumar, Kuldeep; Gill, Dilbagh.

In: South Asian Journal of Management, Vol. 4, No. 2, 07.1997, p. 7-13.

Research output: Contribution to journalArticleResearchpeer-review

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