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Forecast Evaluation of Explanatory Models of Financial Variability
Sucarrat, Genaro - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-8, pp. 1-33
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...
Persistent link: https://www.econbiz.de/10010332964
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Forecast Evaluation of Explanatory Models of Financial Variability
Sucarrat, Genaro - In: Economics - The Open-Access, Open-Assessment E-Journal 3 (2009), pp. 1-33
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...
Persistent link: https://www.econbiz.de/10005082938
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Can Exchange Rates Forecast Commodity Prices?
Chen, Yu-chin; Rogoff, Kenneth; Rossi, Barbara - Duke University, Department of Economics - 2010
This paper demonstrates that "commodity currency" exchange rates have remarkably robust power in predicting future global commodity prices, both in sample and out-of-sample. A critical element of our in-sample approach is to allow for structural breaks, endemic to empirical exchange rate models,...
Persistent link: https://www.econbiz.de/10008549016
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CAN EXCHANGE RATES FORECAST COMMODITY PRICES?
Chen, Yu-chin; Rogoff, Kenneth; Rossi, Barbara - Duke University, Department of Economics - 2008
This paper studies the dynamic relationship between exchange rate fluctuations and world commodity price movements. Taking into account parameter instability, we demonstrate surprisingly robust evidence that exchange rates predict world commodity price movements, both in-sample and...
Persistent link: https://www.econbiz.de/10005787382
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Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - 2009
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample eval-uation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...
Persistent link: https://www.econbiz.de/10011496091
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Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - 2009 - This Version : July 23, 2009
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample eval-uation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...
Persistent link: https://www.econbiz.de/10011523710
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Why is it so Difficult to Beat the Random Walk Rorecast of Exchange Rates?
Kilian, Lutz; Taylor, Mark P. - 2021
. Moreover, the predictability of the nominal exchange rate relative to the random walk benchmark tends to improve at longer … horizons. We test the implications of the model and find strong evidence of exchange rate predictability at horizons of two to …
Persistent link: https://www.econbiz.de/10013320269
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Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?
Kilian, Lutz; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001
reversion in deviations from fundamentals. Our analysis also provides a compelling rationale for the long-horizon predictability … of exchange rates. We find strong empirical support for long-horizon predictability, and we explain why it is difficult … to exploit this predictability in real-time forecasts. Our results not only lend support to economists’ beliefs that the …
Persistent link: https://www.econbiz.de/10005124271
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Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - Economics and Econometrics Research Institute (EERI) - 2009
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample eval-uation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...
Persistent link: https://www.econbiz.de/10005092403
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Understanding forecast failure in ESTAR models of real exchange rates
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2009
The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are evaluated relative to a simple AR(1) specification, considering...
Persistent link: https://www.econbiz.de/10005103385