Similar Search Results

Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate

Balaban, Ercan - 1999

Persistent link: https://www.econbiz.de/10001399838

A non-linear multivariate model of the UK real exchange rate

Milas, Costas - 2001

Persistent link: https://www.econbiz.de/10001636887

Expected inflation in Canada 1965-1979: how rational are business forecasts?

Frank, Murray - 1982

Persistent link: https://www.econbiz.de/10003529089

How far can we forecast? : statistical tests of the predictive content

Breitung, Jörg; Knüppel, Malte - 2018

Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the … forecast horizon h. Following Diebold and Mariano (DM, 1995) we propose a test based on the comparison of the mean …-squared error of the forecast and the sample variance. We show that the resulting test does not possess a limiting normal …

Persistent link: https://www.econbiz.de/10011826055

Score-based calibration testing for multivariate forecast distributions

Knüppel, Malte; Krüger, Fabian; Pohle, Marc-Oliver - 2022

the PIT of the score. The second is based on comparing the expected performance of the forecast distribution (i.e., the … and power properties in simulations and solve various problems of existing tests. We apply the new tests to forecast …

Persistent link: https://www.econbiz.de/10013472781

Testing the martingale hypothesis in the Deutschmark/US dollar futures and spot markets

MacCurdy, Thomas H.; Morgan, Ieuan G. - 1985

Persistent link: https://www.econbiz.de/10003529091

Dominant factors in dollar-sterling exchange rates movements : 1965-1981

Thomas, Steve H.; MacKenzie, G. W. - 1985

Persistent link: https://www.econbiz.de/10003529096

Optimal fiscal substitutes for the exchange rate in a monetary union

Kaufmann, Christoph - 2016

This paper studies Ramsey-optimal monetary and fiscal policy in a New Keynesian 2-country open economy framework, which is used to assess how far fiscal policy can substitute for the role of nominal exchange rates within a monetary union. Giving up exchange rate flexibility leads to welfare...

Persistent link: https://www.econbiz.de/10011561923

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709

Time-varying risk premia and the efficiency of the New Zealand foreign exchange market

Margaritis, Dimitris; Teo, Phay-hoon - 1991

Persistent link: https://www.econbiz.de/10000914878