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Exchange Rate Predictability
Rossi, Barbara - In: Journal of Economic Literature 51 (2013) 4, pp. 1063-1119
The main goal of this article is to provide an answer to the question: does anything forecast exchange rates, and if so … choice of predictor, forecast horizon, sample period, model, and forecast evaluation method. Predictability is most apparent …
Persistent link: https://www.econbiz.de/10010815459
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Model comparisons in unstable environments
Giacomini, Raffaella; Rossi, Barbara - 2012
The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...
Persistent link: https://www.econbiz.de/10009554364