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Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability
Rossi, Barbara - EconWPA - 2005
Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper applies newly developed tests for nested model that are robust to the...
Persistent link: https://www.econbiz.de/10005119462
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Directional forecasting in financial time series using support vector machines: The USD/Euro exchange rate
Plakandaras, Vasilios; Papadimitriou, Theophilos; … - Department of Economics, Democritus University of Thrace - 2012
In this paper, we present a novel machine learning based forecasting system of the EU/USD exchange rate directional …
Persistent link: https://www.econbiz.de/10010840491
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Forecasting euro exchange rates: How much does model averaging help?
Crespo Cuaresma, Jesus - 2007
. While the forecasting error of the combined forecast tends to be systematically smaller than that of the individual model …
Persistent link: https://www.econbiz.de/10010293409
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Forecasting exchange rates with a large Bayesian VAR
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008
Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …
Persistent link: https://www.econbiz.de/10010280768
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Comparing the Accuracy of Density Forecasts from Competing Models
Sarno, Lucio; Valente, Giorgio - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706641
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Forecasting exchange rates: a robust regression approach
PREMINGER, Arie; FRANCK, Raphael - Center for Operations Research and Econometrics (CORE), … - 2005
approach,based on the S-estimation method, to construct forecasting models that are less sensitive to data contamination by … accuracy and sign predictability measures. We find that robust models tend to improve the forecasting accuracy of the AR and of …
Persistent link: https://www.econbiz.de/10005008478
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Forecasting Exchange Rates with a Large Bayesian VAR
Carriero, Andrea; Kapetanios, George; Marcellino, … - School of Economics and Finance, Queen Mary - 2008
Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …
Persistent link: https://www.econbiz.de/10005106322
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Forecasting Exchange Rates with a Large Bayesian VAR
Carriero, A.; Kapetanios, G.; Marcellino, M. - Department of Economics, European University Institute - 2008
Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …
Persistent link: https://www.econbiz.de/10005744345
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Forecasting euro exchange rates: How much does model averaging help?
Cuaresma, Jesus Crespo - Institut für Finanzwissenschaft, Fakultät für …
. While the forecasting error of the combined forecast tends to be systematically smaller than that of the individual model …
Persistent link: https://www.econbiz.de/10005581167
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Random Walk Theory and Exchange Rate Dynamics in Transition Economies
Gradojević, Nikola; Djaković, Vladimir; Andjelić, Goran - In: Panoeconomicus 57 (2010) 3, pp. 303-320
span. To assess the robustness of our findings, we examine the forecasting performance of a non-linear, nonparametric model …
Persistent link: https://www.econbiz.de/10008677175