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Credible Granger-causality inference with modest sample lengths : a cross-sample validation approach
Ashley, Richard A.; Tsang, Kwok Ping - In: Econometrics : open access journal 2 (2014) 1, pp. 72-91
can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often …
Persistent link: https://www.econbiz.de/10010336194
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Predicting exchange rates in Asia : new insights on the accuracy of survey forecasts
Kunze, Frederik - 2017
This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates of the Chinese yuan, the Hong Kong dollar, the Japanese yen, and the Singapore dollar vis-à-vis the US dollar using common forecast accuracy measures. Additionally, the...
Persistent link: https://www.econbiz.de/10011741554
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The Empirical Performance of Option Based Densities of Foreign Exchange
Keller, Joachim G.; Craig, Ben R. - 2002
tests wheter the densities provided from American options provide a good forecasting tool. We use a non-parametric test of … series nature of the transformed variables when the forecasting windows overlap. The inverse probability of the realized …
Persistent link: https://www.econbiz.de/10010295724
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
tests wheter the densities provided from American options provide a good forecasting tool. We use a non-parametric test of …
Persistent link: https://www.econbiz.de/10001656178
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
tests wheter the densities provided from American options provide a good forecasting tool. We use a non-parametric test of … series nature of the transformed variables when the forecasting windows overlap. The inverse probability of the realized …
Persistent link: https://www.econbiz.de/10011431367
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The Empirical Performance of Option Based Densities of Foreign Exchange
Craig, Ben R. - 2016
Persistent link: https://www.econbiz.de/10012991281
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A Reconsideration of the Meese-Rogoff Puzzle : An Alternative Approach to Model Estimation and Forecast Evaluation
Burns, Kelly - 2016
range of conventional and alternative measures of forecasting accuracy. The results demonstrate that incorporating …, estimating these models in state-space form substantially improves forecasting accuracy to the extent that the model and random …
Persistent link: https://www.econbiz.de/10012996977
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Covered interest parity : a stochastic volatility approach to estimate the neutral band
Hernández, Juan Ramón - 2020
stochastic volatility models have the best fit and forecasting performance, hence superior neutral band estimates. …
Persistent link: https://www.econbiz.de/10012195198
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Forecasting European GDP using self-exciting threshold autoregressive models: A warning
Crespo-Cuaresma, Jesus - 2000
-term predictions. Due to the characteristics of the residuals, a bootstrapping method of forecasting was also used, yielding even …
Persistent link: https://www.econbiz.de/10010292409
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …
Persistent link: https://www.econbiz.de/10011489480