The aim of this paper is to compare the forecasting performance of SETAR and GARCHmodels against a linear benchmark using historical data for two bilateral dollarexchange rates, namely the Japanese Yen and the British Pound. The analysis is carried out with series sampled at weekly and daily...

The aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH model using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts, unconditionally, over the whole forecast...