evidence of nonlinearity and/or higher moment influences which seriously questions the habit of forecast and model evaluation … significance of the differences with our more general measures of forecast performance …

data) between the PPP-based forecast models, and the Vector Autoregresive (VAR) ones. The VAR method has a better …

and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically …

forecast future exchange rate movements, following the idea in Engel, Mark, and West (2015). Instead of using the standard …

2004 to 2012, we find strong evidence that the forecasts for developing countries are biased at all forecast horizons. For … increases again at the 24-month horizon. Based on the magnitude of the forecast errors and the direction of change, long … forecast horizon …

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … forecasting accuracy. Additionally, we explore the forecasting accuracy based on the squared distance of the forecast error …

Forecasting exchange rate movements is extremely difficult. While the usual forecast requires determining the size and … sign of change, we investigate if the direction of change alone is easier to forecast. The accuracy rate of monthly … forecast errors, Binary response variable models such as logit and probit do not seem to improve the accuracy of directional …