Pfahler, Jonathan Felix - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
Historically, exchange rate forecasting models have exhibited poor out-of-sample performances and were inferior to the random walk model. Monthly panel data from 1973 to 2014 for ten currency pairs of OECD countries are used to make out-of sample forecasts with artificial neural networks and...