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Forecasting long memory time series under a break in persistence

Heinen, Florian; Sibbertsen, Philipp; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2009

We consider the problem of forecasting time series with long memory when the memory parameter is subject to a structural break. By means of a large-scale Monte Carlo study we show that ignoring such a change in persistence leads to substantially reduced forecasting precision. The strength of...

Persistent link: https://www.econbiz.de/10008472104

Is More Data Better?.

Mitra, K. - Politiikan ja Talouden Tutkimuksen Laitos, … - 1999

Convention wisdom usually suggests that agents should use all the data they have to make the best possible prediction. In this paper it is shown that agents may sometimes be able to make better predictions by throwing away data. The optimality criterion agents adopt is the mean squared criterion.

Persistent link: https://www.econbiz.de/10005660921

Univariate measures of persistence : a comparative analysis

Arango-Castillo, Lenin; Martínez-Ramírez, Francisco J.; … - 2024

Persistence is the speed with which a time series returns to its mean after a shock. Although several measures of persistence have been proposed in the literature, when they are empirically applied, the different measures indicate incompatible messages, as they differ both in the level and the...

Persistent link: https://www.econbiz.de/10015062366

Modeling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach

Baillie, Richard T.; Morana, Claudio - 2007

This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a slowly varying...

Persistent link: https://www.econbiz.de/10010284151

Modeling and Simulation of Currency Exchange Rates Using MPRE

Bianchi, Sergio - 2011

In this work, assuming as a model the Multifractional Processes with Random Exponent (MPRE), we propose a simulation …

Persistent link: https://www.econbiz.de/10013122381

Assessing the predictive ability of sovereign default risk on exchange rate returns

Foroni, Claudia; Ravazzolo, Francesco; Sadaba, Barbara - 2017

Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates. In this paper, we investigate the possible pass-through of...

Persistent link: https://www.econbiz.de/10012014546

The importance of interest rates for forecasting the exchange rate

Bjørnland, Hilde C.; Hungnes, Håvard - 2003

This study compares the forecasting performance of a structural exchange rate model that combines the purchasing power parity condition with the interest rate differential in the long run, with some alternative models. The analysis is applied to the Norwegian exchange rate. The long run...

Persistent link: https://www.econbiz.de/10011968110

Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?

Knedlik, Tobias; Scheufele, Rolf - 2007

In this paper we test the ability of three of the most popular methods to forecast the South African currency crisis of June 2006. In particular we are interested in the out-ofsample performance of these methods. Thus, we choose the latest crisis to conduct an out-of-sample experiment. In sum,...

Persistent link: https://www.econbiz.de/10010269920

Time series modeling of Nigeria external reserves

Iwueze, Iheanyichukwu S.; Nwogu, Eleazar C.; Nlebedim, … - In: CBN Journal of Applied Statistics 04 (2013) 2, pp. 111-128

This paper discusses the levels and trend of external reserves in Nigeria. The relevance of this lies in the fact that it could help to monitor the reserves and throw early warning signal about any economic crisis. Monthly data on Nigeria external reserves for the period January 1999 to...

Persistent link: https://www.econbiz.de/10011482593

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - 2009

exchange rate series over an out-of-sample eval-uation period of nearly 12 years. Point as well as density forecasts are …) specification exist at any of the forecast horizons that are considered, regardless of whether point or density forecasts are … utilised in the evaluation. Non-parametric methods are used in conjunction with simulation techniques to learn about the models …

Persistent link: https://www.econbiz.de/10011496091