Can information on the distribution of ZAR returns be used to improve SARB's ZAR forecasts? - Greenwood-Nimmo, Matthew,Steenkamp, Daan,Van Jaarsveld, Rossouw (Economic Research and Statistics Department, South African Reserve Bank, 2022)
https://ideas.repec.org/p/rbz/wpaper/11035.html
Keywords: Graue Literatur; Foreign exchange markets; realised and options-implied return distributions; variance risk premium; forecast evaluation