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Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models

Akgül, Işıl; Sayyan, Hülya - In: Applied financial economics 18 (2008) 4/6, pp. 463-482

Persistent link: https://www.econbiz.de/10003739179

Forecasting performance of exponential smooth transition autoregressive exchange rate models

Baharumshah, Ahmad Zubaidi; Liew, Venus Khim-sen - In: Open economies review 17 (2006) 2, pp. 235-251

Persistent link: https://www.econbiz.de/10003306949

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: International journal of forecasting 25 (2009) 2, pp. 400-417

Persistent link: https://www.econbiz.de/10003870070

The vector innovation structural time series framework : a simple approach to multivariate forecasting

De Silva, Ashton; Hyndman, Rob J.; Snyder, Ralph D. - 2007

Persistent link: https://www.econbiz.de/10003486454

Essays on the volatility of macroeconomic and financial time series

Yu, Wei-choun - 2006

Persistent link: https://www.econbiz.de/10003973905

Forecast evaluation of explanatory models of financial return variability

Sucarrat, Genaro (contributor) - 2008

basis in the simulation results a simple framework is proposed and illustrated. -- Return variability forecasting …

Persistent link: https://www.econbiz.de/10003694144

Neural network modelling with applications to Euro exchange rates

Rocca, Michele la; Perna, Cira - In: Computational methods in financial engineering : essays …, (pp. 163-189). 2008

Persistent link: https://www.econbiz.de/10003669631

A time-varying parameter vector autoregression model for forecasting emerging market exchange rates

Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39

. The out-of-sample forecasting performance of the TVP-VAR model is evaluated against the simple VAR and ARIMA models, by … consistently outperforms the simple VAR and ARIMA models. -- stock prices ; exchange rates ; bivariate causality ; forecasting …

Persistent link: https://www.econbiz.de/10009010936

Information effects on the accuracy of neural network financial forecasting

Walczak, S. - In: Decision making : recent developments and worldwide …, (pp. 173-182). 2010

Persistent link: https://www.econbiz.de/10009152464

Forecasting the exchange rate between Euro and USD : probabilistic approach versus ARIMA and exponential smoothing techniques

Maniatis, Paraschos - In: The journal of applied business research 28 (2012) 2, pp. 171-192

Persistent link: https://www.econbiz.de/10009524132