data) between the PPP-based forecast models, and the Vector Autoregresive (VAR) ones. The VAR method has a better …

2004 to 2012, we find strong evidence that the forecasts for developing countries are biased at all forecast horizons. For … increases again at the 24-month horizon. Based on the magnitude of the forecast errors and the direction of change, long … forecast horizon …

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … forecasting accuracy. Additionally, we explore the forecasting accuracy based on the squared distance of the forecast error …

We study the expectations of individual forecasters in the foreign exchange market. We find that the survey risk … premium is less countercyclical than the rational risk premium, primarily because it is not related to the forward premium. We … also find that forecasters learn from their own forecast errors (rather than from consensus forecast errors) and that they …

We forecast monthly Value at Risk (VaR) and Conditional Value at Risk (CVaR) using option market data and four …-looking risk measures that do not depend from the amount of historical data used and that, through the implied moments of options …

The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the … markets in Asia, Europe and North America; 2) the research review on the classic forecast techniques of the foreign currencies … quantum forecast techniques of the foreign currencies exchange rates dynamics in the foreign currencies exchange markets with …