Narrow search
Showing 1 - 10 of 21,881
Cover Image
Forecast evaluation of explanatory models of financial variability
Sucarrat, Genaro - 2009
; financial volatility ; forecasting ; explanatory modelling ; exchange rates …
Persistent link: https://www.econbiz.de/10003829997
Cover Image
Structure and Temporal Change of the Credit Network between Banks and Large Firms in Japan
Fujiwara, Yoshi - 2011
We present a new approach to understanding credit relationships between commercial banks and quoted firms, and with this approach, examine the temporal change in the structure of the Japanese credit network from 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite...
Persistent link: https://www.econbiz.de/10013132085
Cover Image
Summary of the Paper Entitled : Forecasting Fuel Prices with the Chilean Exchange Rate
Pincheira, Pablo M.; Jarsun, Nabil - 2021
This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we …
Persistent link: https://www.econbiz.de/10013243891
Cover Image
Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395
Cover Image
Forecasting exchange rates : the time-varying relationship between exchange rates and Taylor rule fundamentals
Haskamp, Ulrich - 2017
literature was found to have promising forecasting abilities, it is possible to further improve the performance if the … coefficient adjustment. With this calibration of the Kalman filter model the short-term out-ofsample forecasting accuracy can be …
Persistent link: https://www.econbiz.de/10011700704
Cover Image
Exchange rate and oil price interactions in selected CEE countries
Drachal, Krzysztof - In: Economies : open access journal 6 (2018) 2, pp. 1-21
This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according...
Persistent link: https://www.econbiz.de/10011854772
Cover Image
Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data
De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32
walk model suggests that the forecasting performance of the monetary model is superior. …
Persistent link: https://www.econbiz.de/10009770376
Cover Image
Biases of professional exchange rate forecasts : psychological explanations and an experimentally based comparison to novices
Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003
reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat native … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that a topically oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …
Persistent link: https://www.econbiz.de/10010498976
Cover Image
Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver; Herwartz, Helmut - 2008
Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....
Persistent link: https://www.econbiz.de/10003796145
Cover Image
Assessing the predictive ability of sovereign default risk on exchange rate returns
Foroni, Claudia; Ravazzolo, Francesco; Sadaba, Barbara - 2017
structure at different maturities of sovereign credit default swaps and conduct an out-of-sample forecasting exercise to test … improves the forecasting accuracy upon the random walk model at short forecasting horizons. …
Persistent link: https://www.econbiz.de/10011646738