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Improving accuracy with forecast combination: The case of inflation and currency in circulation in Nigeria
Ikoku, Alvan E.; Okany, Chukwunonso T. - In: CBN Journal of Applied Statistics 08 (2017) 1, pp. 49-69
Persistent link: https://www.econbiz.de/10011961658
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Modeling and forecasting currency in circulation for liquidity management in Nigeria
Ikoku, Alvan - In: CBN Journal of Applied Statistics 05 (2014) 1, pp. 79-104
Nigeria. Forecasts were produced using ARIMA, ARIMA with structural variables, VAR and VEC models. The performance of the … forecasts was then evaluated under a rolling forecast scenario, where the estimation sample is augmented by one observation and … the forecast sample is brought forward. The evaluation of the forecasts was based on average performance over a number of …
Persistent link: https://www.econbiz.de/10011482596
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A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices: Are there substantial differences?
Schmidt, Robert; Leitner, Johannes - 2004
The study at hand deals with the expectations of professional analysts and novices in the context of foreign exchange markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences between professional forecasts and judgmental forecasts...
Persistent link: https://www.econbiz.de/10010296526
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Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices
Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003
The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve random walk forecasts. The root for this deficient...
Persistent link: https://www.econbiz.de/10010305737
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Should one rely on professional exchange rate forecasts: An empirical analysis of professional forecasts for the €/US-$ rate
Bofinger, Peter; Schmidt, Robert - 2003
The study analyses the characteristics of professional exchange rate forecasts for the €/US-$ rate. The results indicate that the quality of forecasts produced by profes-sional economists is rather poor and incompatible with the rational expectations hy-pothesis. This dismal result is...
Persistent link: https://www.econbiz.de/10010305755
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International Stock Return Predictability Under Model Uncertainty
Schrimpf, Andreas - 2008
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
Persistent link: https://www.econbiz.de/10010298059
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Zur Qualität professioneller Wechselkursprognosen
Schmidt, Robert - 2003
einer naiven Random Walk Prognose. Auch die Verwendung des Terminkurses als Prognose für die zukünftige … dar, von der sie sich bei der Erstellung der Prognose nicht lösen können. Zum anderen erfolgt die Anpassung der Prognose …
Persistent link: https://www.econbiz.de/10010305747
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Forecasting high-yield bond spreads using the loan market as leading indicator
Simmons-Süer, Banu - 2013
This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond indices. Using a vector error correction (VEC) specification for quarterly data, we establish a long-term equilibrium relationship between the HY market spreads and its...
Persistent link: https://www.econbiz.de/10010319718
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Transmission of policy shocks in a monetary asset-pricing model
Müller, Markus; Schittko, Ulrich - 1999
stock prices, exchange rates etc. Furthermore it is investigated whether shares can provide protection against inflation …
Persistent link: https://www.econbiz.de/10010291718
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How does European integration affect the European stock markets?
Erdogan, Burcu - 2009
This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...
Persistent link: https://www.econbiz.de/10010291779