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Volatility forecasting performance of two-scale realized volatility

Garg, S.; Vipul - In: Applied financial economics 24 (2014) 16/18, pp. 1111-1121

Persistent link: https://www.econbiz.de/10010418949

Forecasting VaR using analytic higher moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45

Persistent link: https://www.econbiz.de/10010460001

Measuring the euro-dollar permanent equilibrium exchange rate using the unobserved components model

Chen, Xiaoshan; MacDonald, Ronald - 2014

Persistent link: https://www.econbiz.de/10010460132

Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters : the importance of scheduled and unscheduled news announcemen...

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-min - In: International review of economics & finance : IREF 30 (2014), pp. 101-119

Persistent link: https://www.econbiz.de/10010490494

On the sources of uncertainty in exchange rate predictability

Byrne, Joseph P.; Korobilis, Dimitris; Ribeiro, Pinho J. - 2014

Persistent link: https://www.econbiz.de/10010430006

Four harmonic cycles explain and predict commodity currencies' wide long term fluctuations

Sanidas, Elias - In: Technological forecasting & social change : an … 87 (2014), pp. 135-151

Persistent link: https://www.econbiz.de/10010481340

Can macroeconomists get rich forecasting exchange rates?

Costantini, Mauro; Crespo Cuaresma, Jesús; Hlouskova, … - 2014

We provide a systematic comparison of the out-of-sample forecasts based on multivariate macroeconomic models and forecast combinations for the euro against the US dollar, the British pound, the Swiss franc and the Japanese yen. We use profit maximization measures based on directional accuracy...

Persistent link: https://www.econbiz.de/10010412045

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

that estimated parameters can be used for forecasting the evolution of the turbulent flow. We compare forecasting results … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …

Persistent link: https://www.econbiz.de/10009389845

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

Modeling and forecasting exchange rate volatility in time-frequency domain

Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - In: European journal of operational research : EJOR 251 (2016) 1, pp. 329-340

Persistent link: https://www.econbiz.de/10011446589