The aim of this paper is to compare the forecasting performance of SETAR and GARCHmodels against a linear benchmark using historical data for two bilateral dollarexchange rates, namely the Japanese Yen and the British Pound. The analysis is carried out with series sampled at weekly and daily...

The aim of this paper is to compare the forecasting performance of SETAR and GARCHmodels against a linear benchmark using historical data for two bilateral dollarexchange rates, namely the Japanese Yen and the British Pound. The analysis is carried out with series sampled at weekly and daily...

In recent years there has been a considerable development in modelling non-linearities and asymmetries in economic and financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some of the most traded exchange rates in terms of the...