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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

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

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

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - 2008

, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …

Persistent link: https://www.econbiz.de/10010290353

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

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

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

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

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

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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