Thesis supervisor: Zoltán Schepp
Location of studies (in Hungarian): PTE KTK Rákóczi u. 80. Abbreviation of location of studies: KTK
Description of the research topic:
The consensus view of the research field is that forecasting of flexible exchange rates is an extremely difficult task. However, in the last decade a handful of promising ideas having been published using new models and methods. One among them is the model of Darvas-Schepp (2020) which uses the predictive content of long maturity forward rates. This approach delivered unprecedented positive results for the most traded USD and EUR currency pairs, which arises the natural question whether it can be also useful in the case of emerging currencies?
Required language skills: English Number of students who can be accepted: 2