Publication
Oct 2010
This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. Exchange rate forecasts at various horizons are obtained from each of the potential predictors using single market, mean group and pooled estimates by means of rolling window and recursive forecasting schemes. The capabilities of single predictors and of adaptive techniques for combining the generated exchange rate forecasts are subsequently examined by means of statistical and economic performance measures.
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English (PDF, 50 pages, 485 KB) |
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Author | Leonardo Morales-Arias, Alexander Dross |
Series | Kiel Institute Working Papers |
Issue | 1656 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2010 Kiel Institute for the World Economy |