A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on continuous time theory. In explanatory financial...

A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on continuous time theory. In explanatory financial...

This study was carried out with the purpose of producing twelve out-of-sample forecast for a univariate exchange rate variable as a way of addressing challenges faced around dollarization issues in the domestic economy. In pursuit of this, the ARIMA model was utilised, with the best model...

Consider forecasting the economic variable Y_{t h} with predictors X_{t}, where h is the forecast horizon. This paper introduces a semiparametric method that generates forecast intervals of Y_{t h}|X_{t} from point forecast models. First, the point forecast model is estimated, thereby taking...

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a...

There is empirical evidence for a time-varying relationship between exchange rates and fundamentals. Such a relationship with time-varying coefficients can be estimated by a Kalman filter model. A Kalman filter estimates the coefficients recursively depending on the prediction error of the...

Research shows that the predictive ability of economic fundamentals for exchange rates is time-varying; it may be detected in some periods and disappear in others. This paper uses bootstrap-based methods to uncover the time-specific conditioning information for predicting exchange rates....

The study examines whether the long-run validity of PPP holds in some major advanced and developing economies. The study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology, and we are not aware of any study that has applied TVC...

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...