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Forecast Evaluation of Explanatory Models of Financial Variability
Sucarrat, Genaro - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-8, pp. 1-33
A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on continuous time theory. In explanatory financial...
Persistent link: https://www.econbiz.de/10010332964
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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395
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Forecasting exchange rates : the time-varying relationship between exchange rates and Taylor rule fundamentals
Haskamp, Ulrich - 2017
literature was found to have promising forecasting abilities, it is possible to further improve the performance if the … coefficient adjustment. With this calibration of the Kalman filter model the short-term out-ofsample forecasting accuracy can be …
Persistent link: https://www.econbiz.de/10011700704
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Exchange rate forecasting on a napkin
Ca'Zorzi, Michele; Rubaszek, Michał - 2018
reversion and assume that relative prices are unchanged. Direct forecasting or panel data techniques are better than the random …
Persistent link: https://www.econbiz.de/10011856403
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Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices
Hanke, Michael - 2020
Betting quotes provide valuable information on market-implied probabilities for outcomes of events like elections or referendums, which may have an impact on exchange rates. We generate exchange rate forecasts around such events based on a model that combines risk-neutral event probabilities...
Persistent link: https://www.econbiz.de/10012854895
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Forecasting euro exchange rates: How much does model averaging help?
Crespo Cuaresma, Jesus - 2007
. While the forecasting error of the combined forecast tends to be systematically smaller than that of the individual model …
Persistent link: https://www.econbiz.de/10010293409
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Assessing the predictive ability of sovereign default risk on exchange rate returns
Foroni, Claudia; Ravazzolo, Francesco; Sadaba, Barbara - 2017
structure at different maturities of sovereign credit default swaps and conduct an out-of-sample forecasting exercise to test … improves the forecasting accuracy upon the random walk model at short forecasting horizons. …
Persistent link: https://www.econbiz.de/10011646738
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Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data
De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32
walk model suggests that the forecasting performance of the monetary model is superior. …
Persistent link: https://www.econbiz.de/10009770376
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Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?
Knedlik, Tobias; Scheufele, Rolf - 2007
which method made the run in forecasting the June 2006 currency crisis is: the Markovswitching approach, since it called …
Persistent link: https://www.econbiz.de/10010269920
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Three methods of forecasting currency crises : which made the run in signaling the South African currency crisis of June 2006?
Knedlik, Tobias (contributor); Scheufele, Rolf (contributor) - 2007
which method made the run in forecasting the June 2006 currency crisis is: the Markovswitching approach, since it called …
Persistent link: https://www.econbiz.de/10003613014