-step-ahead forecastabilities by employing four major forecasting evaluation criteria, and compares two different currencies— the Pakistan rupee and …

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 …

. The out-of-sample forecasting performance of the TVP-VAR model is evaluated against the simple VAR and ARIMA models, by …

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

monthly to daily observations on exchange rates. Thus the basic thrust of the paper is to analyse the forecasting accuracy of …

, estimation method or the forecasting horizon) outperform the random walk in out-of-sample forecasting if forecasting power is …