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Forecasting exchange rate volatility : the superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán Carmona, Carlos - In: Journal of empirical finance 19 (2012) 5, pp. 627-639
Persistent link: https://www.econbiz.de/10009700616
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Do the Markov switching-based hybrid models perform better in forecasting exchange rates?
Du, Jiangze; Yu, Runfang; Li, Jin; Lai, Kin Keung - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 7, pp. 1497-1515
Persistent link: https://www.econbiz.de/10012210811
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Shocks effects of inflation, money supply, and exchange rate on the West African Monetary Zone (WAMZ) : asymmetric SVAR modelling
Ilyas, Muhammad; Song, Liying; Galadima, Mukhtar Danladi; … - In: Journal of international trade & economic development : … 31 (2022) 2, pp. 255-276
Persistent link: https://www.econbiz.de/10012872816
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Enhancing the forecasting power of exchange rate models by introducing nonlinearity : does it work?
Burns, Kelly; Moosa, Imad A. - In: Economic modelling 50 (2015), pp. 27-39
Persistent link: https://www.econbiz.de/10011439608
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Forecasting exchange rates using multivariate threshold models
Huber, Florian - In: The B.E. journal of macroeconomics 16 (2016) 1, pp. 193-210
Persistent link: https://www.econbiz.de/10011508943
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Modelling volatility and forecasting of exchange rate of British pound sterling and Indian rupee
Gupta, Sanjeev; Kashyap, Sachin - In: Journal of modelling in management 11 (2016) 2, pp. 389-404
Persistent link: https://www.econbiz.de/10011529491
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Pretesting for multi-step-ahead exchange rate forecasts with STAR models
Enders, Walter; Pascalau, Razvan - In: International journal of forecasting 31 (2015) 2, pp. 473-487
Persistent link: https://www.econbiz.de/10011474176
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Modeling and forecasting currency in circulation for liquidity management in Nigeria
Ikoku, Alvan - In: CBN journal of applied statistics 5 (2014) 1, pp. 79-104
This paper presents forecasts of currency in circulation prepared for liquidity management at the Central Bank of Nigeria. Forecasts were produced using ARIMA, ARIMA with structural variables, VAR and VEC models. The performance of the forecasts was then evaluated under a rolling forecast...
Persistent link: https://www.econbiz.de/10011474285
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A reconsideration of the meese-rogoff puzzle : an alternative approach to model estimation and forecast evaluation
Burns, Kelly - In: Multinational finance journal : MF ; quarterly … 20 (2016) 1, pp. 41-83
Persistent link: https://www.econbiz.de/10012106895
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Carry trade strategies with factor augmented macro fundamentals : a dynamic Markov-switching factor model
Ogruk, Gokcen - In: The international journal of business and finance … 10 (2016) 3, pp. 11-28
Persistent link: https://www.econbiz.de/10011621237