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Can Oil Prices Forecast Exchange Rates?
Ferraro, Domenico; Rogoff, Ken; Rossi, Barbara - Barcelona Graduate School of Economics (Barcelona GSE) - 2015
We show the existence of a very short-term relationship at the daily frequency between changes in the price of a country's major commodity export price and changes in its nominal exchange rate. The relationship appears to be robust and to hold when we use contemporaneous (realized) commodity...
Persistent link: https://www.econbiz.de/10011118618
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Can Oil Prices Forecast Exchange Rates?
Ferraro, Domenico; Rogoff, Kenneth; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011
This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...
Persistent link: https://www.econbiz.de/10009359490
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One-Step-Ahead Forecastability of GARCH (1,1): A Comparative Analysis of USD- and PKR-Based Exchange Rate Volatilities
Khan, Abdul Jalil; Azim, Parvez - In: Lahore Journal of Economics 18 (2013) 1, pp. 1-38
-step-ahead forecastabilities by employing four major forecasting evaluation criteria, and compares two different currencies— the Pakistan rupee and …
Persistent link: https://www.econbiz.de/10010905735
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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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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/10011490150
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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/10011701312
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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
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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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Modelli non lineari per i tassi di cambio: un confronto previsivo con dati a diversa frequenza
Boero, Gianna; Marrocu, Emanuela - In: Moneta e Credito 53 (2000) 212, pp. 385-415
financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some … counterparts. Although we find evidence of some forecasting gains from nonlinear models, the results are sensitive to the forecast … horizon and to the metric adopted to measure the forecasting accuracy. The use of data at different frequencies allows us to …
Persistent link: https://www.econbiz.de/10010660752