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Cointegration, error correction and exchange rate forecasting
Moosa, Imad A.; Vaz, John J. - In: Journal of international financial markets, … 44 (2016), pp. 21-34
Persistent link: https://www.econbiz.de/10011690363
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Predicting exchange rates in Asia : new insights on the accuracy of survey forecasts
Kunze, Frederik - 2017
This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates … common forecast accuracy measures. Additionally, the rationality of the exchange rate predictions are assessed utilizing …
Persistent link: https://www.econbiz.de/10011741554
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Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting
Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 25/27, pp. 3107-3118
Persistent link: https://www.econbiz.de/10010418113
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A reconsideration of the meese-rogoff puzzle : an alternative approach to model estimation and forecast evaluation
Burns, Kelly - In: Multinational finance journal : MF ; quarterly … 20 (2016) 1, pp. 41-83
Persistent link: https://www.econbiz.de/10012106895
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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
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Predicting exchange rates using a novel "cointegration based neuro-fuzzy system"
Gharleghi, Behrooz; Abu Hassan Shaari Mohd Nor; … - In: International economics : a journal published by CEPII … 137 (2014), pp. 88-103
Persistent link: https://www.econbiz.de/10011620048
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Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks
Maatoug, Abderazak Ben - 2019
In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...
Persistent link: https://www.econbiz.de/10012900291
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Covered interest parity : a stochastic volatility approach to estimate the neutral band
Hernández, Juan Ramón - 2020
proposes an estimate of the neutral band based on the one-step-ahead density forecast obtained from a stochastic volatility … stochastic volatility models have the best fit and forecasting performance, hence superior neutral band estimates. …
Persistent link: https://www.econbiz.de/10012195198
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Forecast intervals for US/EURO foreign exchange rate
Bratu, Mihaela - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 257-271
The main goal of this research is to construct and assess forecast intervals for monthly US/EURO foreign exchange rate … model for data starting with the first month of 1999. The forecast intervals are based on the prediction error of the …
Persistent link: https://www.econbiz.de/10011694420