Narrow search
Showing 1 - 7 of 7
Cover Image
Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2009
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …
Persistent link: https://www.econbiz.de/10011113585
Cover Image
Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - 2009
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …
Persistent link: https://www.econbiz.de/10011496091
Cover Image
A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)
Buncic, Daniel - School of Economics, UNSW Business School - 2008
Rapach and Wohar (2006). Moreover, we illustrate graphically that the nonlinearity in the forecasts from the ESTAR model is … also illustrate graphically why one step-ahead forecasts from the nonlinear ESTAR model fail to yield superior predictions …
Persistent link: https://www.econbiz.de/10005135159
Cover Image
Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - Economics and Econometrics Research Institute (EERI) - 2009
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …
Persistent link: https://www.econbiz.de/10005092403
Cover Image
A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2008
Wohar (2006). Moreover, we illustrate graphically that the nonlinearity in the forecasts from the ESTAR model is the … illustrate graphically why one step-ahead forecasts from the nonlinear ESTAR model fail to yield superior predictions to a simple …
Persistent link: https://www.econbiz.de/10005621893
Cover Image
Understanding forecast failure in ESTAR models of real exchange rates
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2009
The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange … study shows that the non-linearity in the point forecasts of the ESTAR model decrease as the forecast horizon increases …. Multiple steps ahead density forecasts of the ESTAR model are approximately normal looking, with no signs of skewness or …
Persistent link: https://www.econbiz.de/10005103385
Cover Image
Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - 2009 - This Version : July 23, 2009
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …
Persistent link: https://www.econbiz.de/10011523710