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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

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

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

The existence of uncovered interest parity in the CIS countries

Bhatti, Razzaque H. - In: Economic modelling 40 (2014), pp. 227-241

Persistent link: https://www.econbiz.de/10010425682

Individual foreign exchange investors, return predictability and market timing

Abuelfadl, Moustafa - In: Annals of financial economics 12 (2017) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011716026

Nonlinear GARCH Models for Highly Persistent Volatility

Lanne, Markku; Saikkonen, Pentti - 2005

persistence and exhibit poor forecasting ability. Our main emphasis is on models that are similar to previously introduced smooth … GARCH models especially in longer term forecasting …

Persistent link: https://www.econbiz.de/10014120167

A Reconsideration of the Meese-Rogoff Puzzle : An Alternative Approach to Model Estimation and Forecast Evaluation

Burns, Kelly - 2016

range of conventional and alternative measures of forecasting accuracy. The results demonstrate that incorporating …, estimating these models in state-space form substantially improves forecasting accuracy to the extent that the model and random …

Persistent link: https://www.econbiz.de/10012996977

Perspectives on Uncovered Interest Rate Parity and the Carry Trade : Some Recent Evidence for G10 and Emerging Markets

Villanueva, Miguel - 2012

Uncovered interest rate parity (UIRP) indicates that international yield differentials reflect expected depreciation of the high-yield currency. However high-yield currencies tend to appreciate, at least in the short run, which implies predictable currency excess returns and trading...

Persistent link: https://www.econbiz.de/10013097842

Testing the Monetary Model for Exchange Rate Determination in South Africa : Evidence from 101 Years of Data

De Bruyn, Riané - 2013

walk model suggests that the forecasting performance of the monetary model is superior …

Persistent link: https://www.econbiz.de/10013083181

Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: test based on EUR/HUF option-implied densities

Csávás, Csaba (contributor) - 2008

rejection of forecasting ability. Our interpretation is that the standard deviation, the skewness and the kurtosis of the risk … central moments of subjective densities. -- Currency option ; implied risk-neutral density function ; density forecasting …

Persistent link: https://www.econbiz.de/10003721533