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...

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...

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....

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...

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...

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...

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...

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....

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both insample and out-of-sample analyses. The theoretical underpinning of these results relies on the...