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Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics

Neely, Christopher J.; Weller, Paul A. - In: Review (2002) May, pp. 43-54

This article investigates the use of genetic programming to forecast out-of-sample daily volatility in the foreign exchange market. Forecasting performance is evaluated relative to GARCH(1,1) and RiskMetrics‘ models for two currencies, the Deutsche mark and the Japanese yen. Although the GARCH...

Persistent link: https://www.econbiz.de/10005726139

Prediciting exchange rate volatility : genetic programming versus GARCH and RiskMetrics

Neely, Christopher J.; Weller, Paul A. - In: Review / Federal Reserve Bank of St. Louis 84 (2002) 3, pp. 43-54

Persistent link: https://www.econbiz.de/10001747401

Technical analysis in the foreign exchange market : a Layman's guide

Neely, Christopher J. - In: Review / Federal Reserve Bank of St. Louis 79 (1997) 5, pp. 23-38

Persistent link: https://www.econbiz.de/10001231974

The giant sucking sound : did NAFTA devour the Mexican peso?

Neely, Christopher J. - In: Review / Federal Reserve Bank of St. Louis 78 (1996) 4, pp. 33-47

Persistent link: https://www.econbiz.de/10001213411

Technical analysis and the profitability of US foreign exchange intervention

Neely, Christopher J. - In: Review / Federal Reserve Bank of St. Louis 80 (1998) 4, pp. 3-17

Persistent link: https://www.econbiz.de/10001250233

Realignments of target zone exchange rate systems : what do we know?

Neely, Christopher J. - In: Review / Federal Reserve Bank of St. Louis 76 (1994) 5, pp. 23-34

Persistent link: https://www.econbiz.de/10001178576

The practice of central bank intervention : looking under the hood

Neely, Christopher J. - In: Review / Federal Reserve Bank of St. Louis 83 (2001) 3, pp. 1-10

Persistent link: https://www.econbiz.de/10001579589

An introduction to capital controls

Neely, Christopher J. - In: Review / Federal Reserve Bank of St. Louis 81 (1999) 6, pp. 13-30

Persistent link: https://www.econbiz.de/10001442207

The federal reserve responds to crises : September 11th was not the first

Neely, Christopher J. - In: Review / Federal Reserve Bank of St. Louis 86 (2004) 2, pp. 27-42

Persistent link: https://www.econbiz.de/10002156407

A survey of announcement effects on foreign exchange volatility and jumps

Neely, Christopher J. - In: Review / Federal Reserve Bank of St. Louis 93 (2011) 5, pp. 361-407

Persistent link: https://www.econbiz.de/10009347999