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Global financial crisis and the puzzling exchange rate path in CEE countries
Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010
financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate …-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk … change of the exchange rate. -- Options ; implied volatility ; risk-neutral density ; exchange rate forecasting ; Bayesian …
Persistent link: https://www.econbiz.de/10008689001
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Can We Beat the Random Walk? The Case of Survey-Based Exchange Rate Forecasts in Chile
Pincheira, Pablo M. - 2018
We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...
Persistent link: https://www.econbiz.de/10012906841
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Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10011313235
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Forecasting Exchange Rates : An Investor Perspective
Melvin, Michael - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10013081705
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Forecast Ranked Tailored Equity Portfolios
Buncic, Daniel - 2019
We use a dynamic model averaging (DMA) approach to construct forecasts of individual equity returns for a large cross-section of stocks contained in the SP500, FTSE100, DAX30, CAC40 and SPX30 headline indices, taking value, momentum, and quality factors as predictor variables. Fixing the set of...
Persistent link: https://www.econbiz.de/10012897247
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Oil Price Forecasting Using Gene Expression Programming and Artificial Neural Networks
Mostafa, Mohamed M. - 2018
This study aims to forecast oil prices using evolutionary techniques such as gene expression programming (GEP) and artificial neural network (NN) models to predict oil prices over the period from January 2, 1986 to June 12, 2012. Autoregressive integrated moving average (ARIMA) models are...
Persistent link: https://www.econbiz.de/10012910387
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Forecasting Lithium Prices
Villena, Mauricio; Quinteros, Maria; Hardy, Nicolas - 2023
The main aim of this paper is to forecast both in-sample and out-of-sample lithium prices. Specifically, we explore the empirical implications of the present value model for exchange rates, market indexes, mining company prices and related company prices in hi-tech, automotive, electric vehicle...
Persistent link: https://www.econbiz.de/10014256538
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Forecasting Base Metal Prices with an International Stock Index
Pincheira, Pablo M.; Hardy, Nicolas; Henriquez, Cristóbal - 2021
In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...
Persistent link: https://www.econbiz.de/10013226962
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Improved Forecasting of Realized Variance Measures
Bekierman, Jeremias - 2016
We consider the problem of forecasting realized variance measures. These measures are highly persistent, but also noisy estimates of the underlying integrated variance. Recently, Bollerslev, Patton and Quaedvlieg (2016, Journal of Econometrics, 192, 1-18) exploited this fact to extend the...
Persistent link: https://www.econbiz.de/10012986440
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Forecasting the Global Financial Crisis in the Years 2009-2010 : Ex-Post Analysis
Fantazzini, Dean - 2011
The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14/04/2009-09/10/2010, and originally submitted to the Economics Bulletin on the 15/05/2009 is analyzed. It is found that the realized values of the SP500 index trailed the forecasted values quite...
Persistent link: https://www.econbiz.de/10013117963