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The aim of this study consists in analyzing the importance of the exchange rate forecast using the Box-Jenkins models, also known as Auto Regressive Integrated Moving Average (ARIMA) models. The first part of the paper presents the main research in this field, which can be classified in two categories (studies applying classical methods, such as Box-Jenkins models and studies which rely on sophisticated prediction tools), and summarizes the main findings of some of the studies applying Box-Jenkins models. In the s...