We construct an empirical heterogeneous agent model which optimally combines forecasts from fundamentalist and chartists agents and evaluate its out-of-sample forecast performance using daily date covering the period from January 1999 to June 2014 for six of the most widely traded currencies. We...

In this paper a panel of vector error correction models based on a common long-run relationship is utilized to test whether the DM exchange rates of Canada, Japan and the United States comply in the long-run with a rational expectations-based monetary exchange rate model. Compared to existing...

The issue of predictability of exchange rate is reexamined by comparing the performance of five forecasting models across six G7 and six Asian developing countries. Our result shows that in terms of prediction accuracy, the random walk model performs poorly for three Asian developing countries,...