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Long : Horizon Exchange Rate Predictability?

Giorgianni, Lorenzo - 1997

Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. By considering the implied vector error-correction model, we show that little is to be gained from estimating such regressions for horizons greater...

Persistent link: https://www.econbiz.de/10014403313

Testing density forecasts, with applications to risk management

Berkowitz, Jeremy - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 4, pp. 465-474

Persistent link: https://www.econbiz.de/10001646386

Out-of-sample forecast tests robust to the choice of window size

Rossi, Barbara; Inoue, Atsushi - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 3, pp. 432-453

Persistent link: https://www.econbiz.de/10009657251

In-sample inference and forecasting in misspecified factor models

Carrasco, Marine; Rossi, Barbara - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 313-338

Persistent link: https://www.econbiz.de/10011691438

Rejoinder: In-sample inference and forecasting in misspecified factor models

Carrasco, Marine; Rossi, Barbara - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 353-356

Persistent link: https://www.econbiz.de/10011691450

Combined density nowcasting in an uncertain economic environment

Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 131-145

Persistent link: https://www.econbiz.de/10011894481

Proper scoring rules for evaluating density forecasts with asymmetric loss functions

Iacopini, Matteo; Ravazzolo, Francesco; Rossini, Luca - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 482-496

Persistent link: https://www.econbiz.de/10014448252