Factor Model Forecasts of Exchange Rates

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Exchange rate predictability in a changing world (2014, unknown): “To generate the exchange rate series for these countries the irrevocable conversion factors adopted by each country on the 1st of January 1999 were employed, in the spirit of Engel et al. (2015).”
On the sources of uncertainty in exchange rate predictability (2018, unknown): “…similar to those based on the VAR forecasts, suggesting small differences in the forecast precision between the two models. twelve months following Engel et al. (2015).12 We use a direct, rather than an iterative, method to forecast the h-month-ahead change in the exchange rate for h = [1, 3, 12].”
Alternative asymptotics for cointegration tests in large VARs (2016, background): “fW (λ; γ1, γ2) = 1 2πγ1 √ (b+ − λ) (λ− b−) λ (1− λ) (9)”