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Performance evaluation of judgemental directional exchange rate predictions

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  • Pollock, Andrew C.
  • Macaulay, Alex
  • Thomson, Mary E.
  • Onkal, Dilek

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  • Pollock, Andrew C. & Macaulay, Alex & Thomson, Mary E. & Onkal, Dilek, 2005. "Performance evaluation of judgemental directional exchange rate predictions," International Journal of Forecasting, Elsevier, vol. 21(3), pages 473-489.
    • Handle: RePEc:eee:intfor:v:21:y:2005:i:3:p:473-489
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    1. Caporale, Guglielmo Maria & Pittis, Nikitas, 1996. "Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails," Economic Modelling, Elsevier, vol. 13(1), pages 1-14, January.
    2. Ronis, David L. & Yates, J. Frank, 1987. "Components of probability judgment accuracy: Individual consistency and effects of subject matter and assessment method," Organizational Behavior and Human Decision Processes, Elsevier, vol. 40(2), pages 193-218, October.
    3. Benson, P. George & Onkal, Dilek, 1992. "The effects of feedback and training on the performance of probability forecasters," International Journal of Forecasting, Elsevier, vol. 8(4), pages 559-573, December.
    4. Zhou, Bin, 1996. "High-Frequency Data and Volatility in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 45-52, January.
    5. Coppes, R. C., 1995. "Are exchange rate changes normally distributed?," Economics Letters, Elsevier, vol. 47(2), pages 117-121, February.
    6. Ito, Takatoshi, 1990. "Foreign Exchange Rate Expectations: Micro Survey Data," American Economic Review, American Economic Association, vol. 80(3), pages 434-449, June.
    7. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
    8. Richard J Rogalski & Joseph D Vinso, 1978. "Empirical Properties of Foreign Exchange Rates," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 9(2), pages 69-79, June.
    9. Friedman, Daniel & Vandersteel, Stoddard, 1982. "Short-run fluctuations in foreign exchange rates : Evidence from the data 1973-1979," Journal of International Economics, Elsevier, vol. 13(1-2), pages 171-186, August.
    10. Mary Thomson & Andrew Pollock & Karen Henriksen & Alex Macaulay, 2004. "The influence of the forecast horizon on judgemental probability forecasts of exchange rate movements," The European Journal of Finance, Taylor & Francis Journals, vol. 10(4), pages 290-307.
    11. Wang, Jian-Xin, 2001. "Quote revision and information flow among foreign exchange dealers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 115-136, June.
    12. Caporale, Guglielmo Maria & Hassapis, Christis & Pittis, Nikitas, 1998. "Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns," Journal of Policy Modeling, Elsevier, vol. 20(5), pages 581-601, October.
    13. Wilkie, Mary E. & Pollock, Andrew C., 1996. "An application of probability judgement accuracy measures to currency forecasting," International Journal of Forecasting, Elsevier, vol. 12(1), pages 25-40, March.
    14. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    15. Boothe, Paul & Glassman, Debra, 1987. "The statistical distribution of exchange rates: Empirical evidence and economic implications," Journal of International Economics, Elsevier, vol. 22(3-4), pages 297-319, May.
    16. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    17. Westerfield, Janice Moulton, 1977. "An examination of foreign exchange risk under fixed and floating rate regimes," Journal of International Economics, Elsevier, vol. 7(2), pages 181-200, May.
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    Cited by:

    1. Thomson, Mary E. & Pollock, Andrew C. & Önkal, Dilek & Gönül, M. Sinan, 2019. "Combining forecasts: Performance and coherence," International Journal of Forecasting, Elsevier, vol. 35(2), pages 474-484.
    2. Ling‐Jing Kao & Chih‐Chou Chiu & Hung‐Jui Wang & Chang Yu Ko, 2021. "Prediction of remaining time on site for e‐commerce users: A SOM and long short‐term memory study," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1274-1290, November.
    3. Barrera, Carlos R., 2010. "Redes neuronales para predecir el tipo de cambio diario," Working Papers 2010-001, Banco Central de Reserva del Perú.
    4. Thomson, Mary E. & Pollock, Andrew C. & Gönül, M. Sinan & Önkal, Dilek, 2013. "Effects of trend strength and direction on performance and consistency in judgmental exchange rate forecasting," International Journal of Forecasting, Elsevier, vol. 29(2), pages 337-353.
    5. Son, Hyojoo & Kim, Changwan, 2017. "Short-term forecasting of electricity demand for the residential sector using weather and social variables," Resources, Conservation & Recycling, Elsevier, vol. 123(C), pages 200-207.
    6. Lawrence, Michael & Goodwin, Paul & O'Connor, Marcus & Onkal, Dilek, 2006. "Judgmental forecasting: A review of progress over the last 25 years," International Journal of Forecasting, Elsevier, vol. 22(3), pages 493-518.

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