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Integration, cointegration and the forecast consistency of structural exchange rate models

Cheung, Yin-Wong - 1997

Persistent link: https://www.econbiz.de/10000967507

Fast and adaptive cointegration based model for forecasting high frequency financial time series

Arce, Paola; Antognini, Jonathan; Kristjanpoller … - In: Computational economics 54 (2019) 1, pp. 99-112

Persistent link: https://www.econbiz.de/10012134087

Re-estimation of Keynesian model by considering critical events and multiple cointegrating vectors

Hina, Hafsa; Qayyum, Abdul - In: The Pakistan development review : PDR 54 (2015) 2, pp. 123-145

Persistent link: https://www.econbiz.de/10011561554

Cointegration as an explanation for the Meese-Rogoff puzzle

Moosa, Imad A.; Vaz, John J. - In: Applied economics 48 (2016) 43/45, pp. 4201-4209

Persistent link: https://www.econbiz.de/10011640012

Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 25/27, pp. 3107-3118

Persistent link: https://www.econbiz.de/10010418113

Cointegration, error correction and exchange rate forecasting

Moosa, Imad A.; Vaz, John J. - In: Journal of international financial markets, … 44 (2016), pp. 21-34

Persistent link: https://www.econbiz.de/10011690363

Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Cheung, Yin-Wong - 1997

estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following … requirements: the forecast and the actual series i) have the same order of integration, ii) are cointegrated, and iii) have a …

Persistent link: https://www.econbiz.de/10012472881

Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks

Maatoug, Abderazak Ben - 2019

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...

Persistent link: https://www.econbiz.de/10012900291

Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships

Pajor, Anna; Wróblewska, Justyna - In: Eurasian economic review : a journal in applied … 12 (2022) 3, pp. 427-448

Persistent link: https://www.econbiz.de/10013431511

Long-memory models in testing the efficiency market hypothesis of the algerian exchange market

Benzai, Yassine; Aouad, Hadjar Soumia; Djellouli, Nassima - In: Management dynamics in the knowledge economy 10 (2022) 4/38, pp. 376-390

Persistent link: https://www.econbiz.de/10013499339