Exchange rate forecasting is hard and the seminal result of Meese and Rogoff (1983) that the exchange rate is well … constructing other forecasting models. However, in several other macro and financial forecasting applications, researchers in … recent years have considered methods for forecasting that combine the information in a large number of time series. One …

information that would be valuable in forecasting changes in exchange rates. The conclusions are limited, however, by the …

partial least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten …

beat even a naive no-change model in out-of-sample forecasting. More recently, the use of sophisticated econometric … a small predictable component to exchange rates. This article reviews the literature on forecasting exchange rates with …

exchange market. Forecasting performance is evaluated relative to GARCH(1,1) and RiskMetrics models for two currencies, DEM and …

This study examines the out-of-sample forecasting performance of models of exchange rate determination without imposing …

place greater weight on future fundamentals. Consequently, current fundamentals have very weak forecasting power and … econometrician, long-horizon regressions generally do not have significant forecasting power. However, when EW's assumptions are … show that long-horizon regression can have substantial forecasting power for exchange rates. …

used for short-term exchange rate forecasting. Nevertheless, the levels’ ability to predict intraday trend interruptions …