Bayesian method outperforms OLS in forecasting foreign exchange rates.
The article explores different ways to predict foreign exchange rates using mathematical models. By comparing various methods, the researchers found that using Bayesian estimation tends to give more accurate forecasts than traditional methods. They also discovered that non-stationary models generally perform better than stationary or error-correction models, especially for long-term predictions. Overall, the study shows that the predictive power of these models is limited.