In this paper, the exchange rate forecasting performance of neural network models are evaluated against the random walk, autoregressive moving average and generalised autoregressive conditional heteroskedasticity models. There are no guidelines available that can be used to choose the parameters...

In this paper, a Divisia monetary index measure of money is constructed for the Italian economy and its inflation forecasting potential is compared with that of its traditional simple sum counterpart. The powerful and flexible Artificial Intelligence technique of neural networks is used to allow...

In this paper we compare the performance of three indices in an inflation forecasting experiment. The evidence not only suggests that an evolved neural network is superior to traditionally trained networks in the majority of cases, but also that a risky money index performs at least as well as...

In this paper a weighted index measure of money using the 'Divisia' formulation is constructed for the Taiwan economy and its inflation forecasting potential is compared with that of its traditional simple sum counterpart. This research extends an earlier study by Gazely and Binner by examining...

type="main" <p>We use non-parametric procedures to identify breaks in the underlying series of UK household sector money demand functions. Money demand functions are estimated using cointegration techniques and by employing both the <fr>S</fr>imple <fr>S</fr>um and <fr>D</fr>ivisia measures of money. P-star models are also...</p>

Numerous studies find that monetary models of exchange rates cannot beat a random walk model. Such a finding, however, is not surprising given that such models are built upon money demand functions and traditional money demand functions appear to have broken down in many developed countries. In...

Linear models reach their limitations in applications with nonlinearities in the data. In this paper new empirical evidence is provided on the relative Euro inflation forecasting performance of linear and non-linear models. The well established and widely used univariate ARIMA and multivariate...

This article investigates the behaviour of exchange rates across different regimes for a post-Bretton Woods period. The exchange rate regime classification is based on the classification of Frankel et al. (2004) who condensed the 10 categories of exchange rate regimes reported by the...

Providing support on how to revise for exams, how to present calculations and how to prepare for and write assessed pieces, this book encourages readers not only to think like a management accountant but also to think about the subject critically

The principal objective of this paper is to develop a new approach to the construction of composite leading indicators using the signal extraction capabilities of the powerful Kalman filter. The resultant leading indicator properties are found to outperform those already derived using the...