IDEAS home Printed from https://ideas.repec.org/r/eee/intfor/v3y1987i1p65-79.html
   My bibliography  Save this item

Comparing exchange rate forecasting models : Accuracy versus profitability

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Alberto Fuertes & Simón Sosvilla-Rivero, 2019. "“Forecasting emerging market currencies: Are inflation expectations useful?”," IREA Working Papers 201918, University of Barcelona, Research Institute of Applied Economics, revised Oct 2019.
  2. Bronka Rzepkowski, 2002. "Heterogeneous expectations, currency options and the euro/dollar," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 147-157.
  3. Imad Moosa & Kelly Burns, 2014. "A reappraisal of the Meese--Rogoff puzzle," Applied Economics, Taylor & Francis Journals, vol. 46(1), pages 30-40, January.
  4. Ahmad Zubaidi Baharumshah & Liew Khim Sen & Lim Kian Ping, 2003. "Exchange Rates Forecasting Model: An Alternative Estimation Procedure," International Finance 0307005, University Library of Munich, Germany.
  5. Medel, Carlos & Camilleri, Gilmour & Hsu, Hsiang-Ling & Kania, Stefan & Touloumtzoglou, Miltiadis, 2015. "Robustness in Foreign Exchange Rate Forecasting Models: Economics-based Modelling After the Financial Crisis," MPRA Paper 65290, University Library of Munich, Germany.
  6. Simón Sosvilla-Rivero & Emma García, "undated". "Forecasting the Dollar/Euro Exchange Rate: Can International Parities Help?," Working Papers 2003-15, FEDEA.
  7. Imad Moosa & Kelly Burns, 2014. "Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting," Applied Economics, Taylor & Francis Journals, vol. 46(25), pages 3107-3118, September.
  8. Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon & Andrada-Felix, Julian, 1999. "Exchange-rate forecasts with simultaneous nearest-neighbour methods: evidence from the EMS," International Journal of Forecasting, Elsevier, vol. 15(4), pages 383-392, October.
  9. 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.
  10. Marsh, Ian W. & Power, David M., 1996. "A note on the performance of foreign exchange forecasters in a portfolio framework," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 605-613, April.
  11. Macdonald, Ronald & Marsh, Ian W., 1996. "Currency forecasters are heterogeneous: confirmation and consequences," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 665-685, October.
  12. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated". "Nearest-Neighbour Predictions in Foreign Exchange Markets," Working Papers 2002-05, FEDEA.
  13. Wu, Yih-Jiuan, 1998. "Exchange rate forecasting: an application of radial basis function neural networks," ISU General Staff Papers 1998010108000013540, Iowa State University, Department of Economics.
  14. repec:onb:oenbwp:y:2009:i:2:b:1 is not listed on IDEAS
  15. Garratt, Anthony & Lee, Kevin, 2010. "Investing under model uncertainty: Decision based evaluation of exchange rate forecasts in the US, UK and Japan," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 403-422, April.
  16. Wilkie-Thomson, Mary E. & Onkal-Atay, Dilek & Pollock, Andrew C., 1997. "Currency forecasting: an investigation of extrapolative judgement," International Journal of Forecasting, Elsevier, vol. 13(4), pages 509-526, December.
  17. John Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Staff Working Papers 07-1, Bank of Canada.
  18. Naszodi, Anna, 2010. "Testing the asset pricing model of exchange rates with survey data," Working Paper Series 1200, European Central Bank.
  19. Kelly Burns, 2016. "A Reconsideration of the Meese-Rogoff Puzzle: An Alternative Approach to Model Estimation and Forecast Evaluation," Multinational Finance Journal, Multinational Finance Journal, vol. 20(1), pages 41-83, March.
  20. Pollock, Andrew C. & Macaulay, Alex & Onkal-Atay, Dilek & Wilkie-Thomson, Mary E., 1999. "Evaluating predictive performance of judgemental extrapolations from simulated currency series," European Journal of Operational Research, Elsevier, vol. 114(2), pages 281-293, April.
  21. Jesús Crespo Cuaresma & Jaroslava Hlouskova, 2005. "Beating the random walk in Central and Eastern Europe," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(3), pages 189-201.
  22. Emma Garcia & Simón Sosvilla-rivero, 2005. "Forecasting the dollar|euro exchange rate: are international parities useful?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(5), pages 369-377.
  23. De Gooijer, Jan G. & Ray, Bonnie K. & Krager, Horst, 1998. "Forecasting exchange rates using TSMARS," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 513-534, June.
  24. Najand, Mohammad & Bond, Charlotte, 2000. "Structural models of exchange rate determination," Journal of Multinational Financial Management, Elsevier, vol. 10(1), pages 15-27, January.
  25. Eun, Cheol S. & Sabherwal, Sanjiv, 2002. "Forecasting exchange rates: Do banks know better?," Global Finance Journal, Elsevier, vol. 13(2), pages 195-215.
  26. Moosa, Imad & Burns, Kelly, 2014. "The unbeatable random walk in exchange rate forecasting: Reality or myth?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 69-81.
  27. Pan, Ming-Shiun & Liu, Y. Angela & Chan, Kam C., 1996. "An examination of long-term dependence in black market exchange rates in eight Pacific-Basin countries," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 175-185.
  28. Thomson, Mary E. & Onkal-Atay, Dilek & Pollock, Andrew C. & Macaulay, Alex, 2003. "The influence of trend strength on directional probabilistic currency predictions," International Journal of Forecasting, Elsevier, vol. 19(2), pages 241-256.
  29. Pollock, Andrew C. & Wilkie, Mary E., 1996. "The quality of bank forecasts: The dollar-pound exchange rate, 1990-1993," European Journal of Operational Research, Elsevier, vol. 91(2), pages 306-314, June.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.