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A reappraisal of the Meese-Rogoff puzzle

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 1/3, pp. 30-40

Persistent link: https://www.econbiz.de/10010354125

On the modeling of financial time series

Kutergin, Aleksey; Filimonov, Vladimir - In: Financial econometrics and empirical market microstructure, (pp. 131-151). 2015

Persistent link: https://www.econbiz.de/10011326692

The unbeatable random walk in exchange rate forecasting : reality or myth?

Moosa, Imad A.; Burns, Kelly - In: Journal of macroeconomics 40 (2014), pp. 69-81

Persistent link: https://www.econbiz.de/10010495751

Fundamentals, forecast combinations and nominal exchange-rate predictability

Wu, Jyh-lin; Wang, Yi-chiuan - In: International review of economics & finance : IREF 25 (2013), pp. 129-145

Persistent link: https://www.econbiz.de/10009693330

A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts

Pincheira, Pablo; West, Kenneth D. - In: Research in economics : an international review of economics 70 (2016) 2, pp. 304-319

Persistent link: https://www.econbiz.de/10011631148

Fractal investigation and maximal overlap discrete wavelet transformation (MODWT)-based machine learning framework for forecasting exchange rates

Ghosh, Indranil; Chaudhuri, Tamal D. - In: Studies in microeconomics 5 (2017) 2, pp. 105-131

Persistent link: https://www.econbiz.de/10012023833

Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities

Sattarhoff, Cristina; Lux, Thomas - 2021

stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility … the RV framework. We compare the predictive ability of the two against seven classical and multifractal volatility models … clear message: The RV-MRW is throughout the best model for all forecast horizons under the MAE criterium as well as for …

Persistent link: https://www.econbiz.de/10012672178

Forecasting in the presence of instabilities : how do we know whether models predict well and how to improve them

Rossi, Barbara - 2019 - This Draft: November 2019

Persistent link: https://www.econbiz.de/10012209873

Forecasting the yield curve with dynamic factors

Reschenhofer, Erhard; Stark, Thomas - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 101-113

Persistent link: https://www.econbiz.de/10012022015

Multiple days ahead realized volatility forecasting : single, combined and average forecasts

Degiannakis, Stavros - In: Global finance journal 36 (2018), pp. 41-61

Persistent link: https://www.econbiz.de/10012125013