+1 Added to my documents.
Please be aware your selection is temporary depending on your cookies policy.
Remove this selection here

Forecasting Combination: An Application For Exchange Rates

 

WP-Image page

Abstract

This paper tries to forecast exchange rates by comparing forecasting methods that take into account cointegration and methods that do not. The first finding is that taking into account cointegration provides better forecasting results.

Furthermore, the factor model with cointegration provides the smallest forecasting errors, but when compared with penalized maximum likelihood, the differences are not always significant. In addition, we show that a forecast combination of all the methods used provides better exchange rates forecast accuracy.

BAKU Elisa , Quantitative Research
LEZMI Edmond , Quantitative research at Amundi

Download this article in PDF format

Send by e-mail
Forecasting Combination: An Application For Exchange Rates
Was this article helpful?YES
Thank you for your participation.
0 user(s) have answered Yes.
Related articles