In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995) that sets the groundwork for much of the subsequent work...

Based on technical analysis and White's and Hansen's data-snooping-robust tests, we examine the efficiency of the Taiwan-U.S. forward foreign exchange market and find that, unlike the spot market, the forward market is inefficient even under a very high transaction cost, suggesting that the...