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Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012756639

Variable Selection and Inference for Multi-Period Forecasting Problems

Pesaran, M. Hashem - 2011

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

Persistent link: https://www.econbiz.de/10012756285

Exchange Rate Forecasters' Performance : Evidence of Skill?

MacDonald, Ronald - 2013

This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...

Persistent link: https://www.econbiz.de/10013095998

Forecasting Exchange Rates : An Investor Perspective

Melvin, Michael - 2013

The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....

Persistent link: https://www.econbiz.de/10013081705

Revenue Forecasting Practices : Differences Across Countries and Consequences for Forecasting Performance

Buettner, Thiess - 2009

This paper reviews the practice and performance of revenue forecasting in selected OECD countries. While the mean forecast errors are small in most countries, the precision of the forecasts measured by the standard deviation of the forecast error differs substantially across countries. Based on...

Persistent link: https://www.econbiz.de/10013160436

Exchange Rate Uncertainty and International Portfolio Flows

Caporale, Guglielmo Maria - 2013

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...

Persistent link: https://www.econbiz.de/10013081704

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10013082343

Exchange Rate Expectations of Chartists and Fundamentalists

Dick, Christian David - 2013

This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals' expectations vary considerably as they generally...

Persistent link: https://www.econbiz.de/10013083266

Exchange Rate Misalignment Estimates - Sources of Differences

Cheung, Yin-Wong - 2013

We study the differences of currency misalignment estimates obtained from alternative datasets derived from two International Comparison Program (ICP) surveys. A decomposition exercise reveals that the year 2005 misalignment estimates are substantially affected by the ICP price revision....

Persistent link: https://www.econbiz.de/10013092474

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

Caporale, Guglielmo Maria - 2015

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...

Persistent link: https://www.econbiz.de/10013009868

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