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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

Forecasting the Yen/US Dollar exchange rate : empirical evidence from a capital enhanced relative PPP-based model

Grossmann, Axel; Simpson, Marc W. - In: Journal of Asian economics 21 (2010) 5, pp. 476-484

Persistent link: https://www.econbiz.de/10009244537

Bid-ask spreads, deviations from PPP and the forward prediction error : the case of the British pound and the euro

Grossmann, Axel; Simpson, Marc W. - In: The quarterly review of economics and finance : journal … 55 (2015), pp. 124-139

Persistent link: https://www.econbiz.de/10011334657

The equilibrium level and forecasting performance of nominal effective exchange rate indexes using an export and import price-based relative PPP model

Grossmann, Axel; Paul, Chris W.; Simpson, Marc W. - In: Applied financial economics 24 (2014) 13/15, pp. 1017-1030

Persistent link: https://www.econbiz.de/10010415312

Predictability of the U.S. dollar index using a U.S. export and import price index-based relative PPP model

Grossmann, Axel; Simpson, Marc W. - In: Journal of economics and finance 35 (2011) 4, pp. 417-433

Persistent link: https://www.econbiz.de/10009383663

An examination of the forward prediction error of US dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium a...

Simpson, Marc W.; Grossmann, Axel - In: The North American journal of economics and finance : a … 28 (2014), pp. 221-238

Persistent link: https://www.econbiz.de/10010461953

Predictability and forecasting performance of major euro exchange rates using a relative PPP-based equilibrium model

Grossmann, Axel; Simpson, Marc W. - In: Research in international business and finance 66 (2023), pp. 1-35

Persistent link: https://www.econbiz.de/10014462207

Which sustainable growth rate is best at forecasting actual growth?

Moore, Gary; Simpson, Marc W. - In: American journal of business 38 (2023) 4, pp. 173-192

Persistent link: https://www.econbiz.de/10014432871

The forecasting efficacy of risk-neutral mopments for crude oil volatility

Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; Wang, … - In: Journal of forecasting 34 (2015) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10011305272

The Forecasting Efficacy of Risk-Neutral Moments for Crude Oil Volatility

Chatrath, Arjun - 2018

This paper examines the information content of implied volatility for crude oil options as it relates to future realized volatility. Using data for the period 1996 to 2011 we find that implied volatility is an effective predictor of the month-ahead realized volatility. We show that implied...

Persistent link: https://www.econbiz.de/10012937326