Forecasting exchange rates: A robust regression approach
In: International journal of forecasting, Band 23, Heft 1, S. 71-84
ISSN: 0169-2070
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In: International journal of forecasting, Band 23, Heft 1, S. 71-84
ISSN: 0169-2070
In: Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 29/2010
SSRN
In: Algorithmic Finance (2015), 4:1-2, 69-79
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Working paper
In: Socio-economic planning sciences: the international journal of public sector decision-making, Band 21, Heft 6, S. 363-369
ISSN: 0038-0121
In: Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 21/2012
SSRN
In: International Journal of Computational Economics and Econometrics, Special Issue on: Advances in Computational Economics and Econometrics, 5(3), 272-288. DOI: 10.1504/IJCEE.2015.070616.
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In: Series in financial economics and quantitative analysis
In: International Journal of Research in Finance and Management https://doi.org/10.33545/26175754.2024.v7.i1a.283
SSRN
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 7, Heft 4, S. 281-290
ISSN: 1475-6803
AbstractThis paper examines the effects of interest rate news on changes in forward foreign exchange rates. Virtually none of the errors in forecasting forward exchange rates are explained by interest rate forecasting errors. The results are consistent with a conjecture that the forward exchange rate is not an estimate of the expected spot exchange rate.
In: Applied Economics, Band 42, Heft 27, S. 3455-3480
This paper investigates the out-of-sample forecast performance of a set of competing models of exchange rate determination. We compare standard linear models with models that characterize the relationship between exchange rate and its underlying fundamentals by nonlinear dynamics. Linear models tend to outperform at short forecast horizons especially when deviations from long-term equilibrium are small. In contrast, nonlinear models with more elaborate mean-reverting components dominate at longer horizons especially when deviations from long-term equilibrium are large. The results also suggest that combining different forecasting procedures generally produces more accurate forecasts than can be attained from a single model.
In: International journal of forecasting, Band 37, Heft 3, S. 1085-1091
ISSN: 0169-2070
In: International journal of forecasting, Band 15, Heft 4, S. 421-430
ISSN: 0169-2070
In: International journal of forecasting, Band 29, Heft 3, S. 493-509
ISSN: 0169-2070
In: International journal of forecasting, Band 25, Heft 2, S. 400-417
ISSN: 0169-2070
In: Emerging markets, finance and trade: EMFT, Band 49, Heft sup4, S. 81-92
ISSN: 1558-0938