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Do the Markov switching-based hybrid models perform better in forecasting exchange rates?
Du, Jiangze; Yu, Runfang; Li, Jin; Lai, Kin Keung - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 7, pp. 1497-1515
Persistent link: https://www.econbiz.de/10012210811
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Liquidity premiums, interest rate differentials, and nominal exchange rate prediction
Wang, Yi-Chiuan; Wu, Jyh-lin - In: Journal of forecasting 43 (2024) 1, pp. 138-158
Persistent link: https://www.econbiz.de/10014443191
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Is it possible to beat the random walk model in exchange rate forecasting? : more evidence for Brazilian case
Marçal, Emerson Fernandes; Hadad Junior, Eli - In: Revista Brasileira de Finanças : RBFin 14 (2016) 1, pp. 65-88
Persistent link: https://www.econbiz.de/10011586095
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Forecasting the yield curve with dynamic factors
Reschenhofer, Erhard; Stark, Thomas - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 101-113
Persistent link: https://www.econbiz.de/10012022015
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Predictions of short-term rates and the expectations hypothesis
Guidolin, Massimo; Thornton, Daniel L. - In: International journal of forecasting 34 (2018) 4, pp. 636-664
Persistent link: https://www.econbiz.de/10012031076
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Do US consumer survey data help beat the random walk in forecasting mortgage rates?
Baghestani, Hamid - In: Cogent economics & finance 5 (2017) 1, pp. 1-11
–2016. Our forecast evaluation test results indicate that the VAR forecasts generally embody useful predictive information above …
Persistent link: https://www.econbiz.de/10011881588
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Beating the random walk in Central and Eastern Europe by survey forecasts
Naszodi, Anna - 2011
This paper investigates the forecasting ability of survey data on exchange rate expectations with multiple forecast … currencies. The best performing term-structure model is the one that assumes an exponential relationship between the forecast and … the forecast horizon, and has time-varying parameters. -- evaluating forecasts ; exchange rate ; survey forecast ; time …
Persistent link: https://www.econbiz.de/10009157616
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The effects of conventional and unconventional monetary policy on forecasting the yield curve
Eo, Yunjong; Kang, Kyu Ho - In: Journal of economic dynamics & control 111 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012501422
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Can a relative purchasing power parity-based model outperform a random walk in forecasting short-term exchange rates?
Simpson, Marc W.; Grossmann, Axel - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 375-392
Persistent link: https://www.econbiz.de/10009508870
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Fundamentals, forecast combinations and nominal exchange-rate predictability
Wu, Jyh-lin; Wang, Yi-chiuan - In: International review of economics & finance : IREF 25 (2013), pp. 129-145
Persistent link: https://www.econbiz.de/10009693330