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Forecasting the Yen/US Dollar exchange rate : empirical evidence from a capital enhanced relative PPP-based model

Grossmann, Axel; Simpson, Marc W. - In: Journal of Asian economics 21 (2010) 5, pp. 476-484

Persistent link: https://www.econbiz.de/10009244537

Forecasting exchange rates : non-linear adjustment and time-varying equilibrium

Grossmann, Axel; McMillan, David G. - In: Journal of international financial markets, … 20 (2010) 4, pp. 436-450

Persistent link: https://www.econbiz.de/10009260246

Can a relative purchasing power parity-based model outperform a random walk in forecasting short-term exchange rates?

Simpson, Marc W.; Grossmann, Axel - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 375-392

Persistent link: https://www.econbiz.de/10009508870

The equilibrium level and forecasting performance of nominal effective exchange rate indexes using an export and import price-based relative PPP model

Grossmann, Axel; Paul, Chris W.; Simpson, Marc W. - In: Applied financial economics 24 (2014) 13/15, pp. 1017-1030

Persistent link: https://www.econbiz.de/10010415312

Investigating the PPP hypothesis using constructed US dollar equilibrium exchange rate misalignments over the post-Bretton Woods period

Grossmann, Axel; Simpson, Marc W.; Ozuna, Teofilo - In: Journal of economics and finance 38 (2014) 2, pp. 235-268

Persistent link: https://www.econbiz.de/10010490982

An examination of the forward prediction error of US dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry

Simpson, Marc W.; Grossmann, Axel - In: The North American journal of economics and finance : a … 28 (2014), pp. 221-238

Persistent link: https://www.econbiz.de/10010461953

Bid-ask spreads, deviations from PPP and the forward prediction error : the case of the British pound and the euro

Grossmann, Axel; Simpson, Marc W. - In: The quarterly review of economics and finance : journal … 55 (2015), pp. 124-139

Persistent link: https://www.econbiz.de/10011334657

Predictability and forecasting performance of major euro exchange rates using a relative PPP-based equilibrium model

Grossmann, Axel; Simpson, Marc W. - In: Research in international business and finance 66 (2023), pp. 1-35

Persistent link: https://www.econbiz.de/10014462207

How good can heuristic-based forecasts be? : a comparative performance of econometric and heuristic models for UK and US asset returns

Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela - In: Quantitative finance 18 (2018) 1, pp. 139-169

Persistent link: https://www.econbiz.de/10011905849

How Good Can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns

Guidolin, Massimo - 2017

This paper systematically investigates the sources of differential out-of-sample predictive accuracy of heuristic frameworks based on internet search frequencies and a large set of econometric models. The volume of internet searches helps gauge the degree of investors' time-varying interest in...

Persistent link: https://www.econbiz.de/10012972983