practical implications, our forecasting results provide perhaps the most convincing evidence to date that the exchange rate …,b) literature on forecasting exchange rates, we find that the reverse forecasting regression does not survive out-of-sample testing …

forecasting models reduces forecast errors compared with a single model. …

forecasting models reduces forecast errors compared with a single model. …

Traditionally, the literature on forecasting exchange rates with many potential predictors have primarily only … forecasting horizons. …

financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some … counterparts. Although we find evidence of some forecasting gains from nonlinear models, the results are sensitive to the forecast … horizon and to the metric adopted to measure the forecasting accuracy. The use of data at different frequencies allows us to …

-- sequential adaptive ridge regression -- that prevent overfitting in-sample for better and more stable forecasting performance out … information about exchange rates even for short forecasting horizons -- and the Meese and Rogoff (1983) puzzle is overturned. Such …