Dal Bianco, Marcos; Camacho, Máximo; Pérez Quirós, … - 2012
-sample fi t and, more importantly, encouraging outof- sample forecasting results at horizons ranging from one week to one month … statistical measures of forecasting error at all horizons. Moreover, our model improves greatly when we use the direction … forecasting horizons than a naive model that predicts the exchange rate has an equal chance to go up or down, with statistically …