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Conditional forecast selection from many forecasts: An application to the Yen/Dollar exchange rate
Kawakami, Kei - In: Journal of the Japanese and International Economies 28 (2013) C, pp. 1-18
forecasting models reduces forecast errors compared with a single model. …
Persistent link: https://www.econbiz.de/10010666012
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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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Forecast evaluation of explanatory models of financial variability
Sucarrat, Genaro - 2009
; financial volatility ; forecasting ; explanatory modelling ; exchange rates …
Persistent link: https://www.econbiz.de/10003829997
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Forecast Evaluation of Explanatory Models of Financial Return Variability
Sucarrat, Genaro - 2011
A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and...
Persistent link: https://www.econbiz.de/10013132293
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Forecasting Exchange Rates : An Investor Perspective
Melvin, Michael - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated … rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …
Persistent link: https://www.econbiz.de/10013081705
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Summary of the Paper Entitled : Forecasting Fuel Prices with the Chilean Exchange Rate
Pincheira, Pablo M.; Jarsun, Nabil - 2021
This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we …
Persistent link: https://www.econbiz.de/10013243891
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Forecasting exchange rates : an investor perspective
Melvin, Michael; Prins, John; Shand, Duncan - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated … rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates … magnitude of portfolio drawdowns. -- exchange rate forecasting ; forecast evaluation ; conditioners ; quantitative models …
Persistent link: https://www.econbiz.de/10009743826
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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395
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Forecasting exchange rates : the time-varying relationship between exchange rates and Taylor rule fundamentals
Haskamp, Ulrich - 2017
literature was found to have promising forecasting abilities, it is possible to further improve the performance if the … coefficient adjustment. With this calibration of the Kalman filter model the short-term out-ofsample forecasting accuracy can be …
Persistent link: https://www.econbiz.de/10011700704