Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adel; Gupta, … - Department of Economics, Faculty of Economic and … - 2013
This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African Rand against the United States dollar and the British Pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band- TAR...