Exchange Rate Prediction under Model Uncertainty

Name: Exchange Rate Prediction under Model Uncertainty
Brand: Scholars' Press
SKU: 9783639711431
Price: 15447 HUF
Availability: InStock

Szerző: Ahmed Alzahrani

Nyelv:

Kötés: Puha kötésű

Kiadó: Scholars' Press

Elérhetőség: Beszállítói készleten

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15 447 Ft

Conventional exchange rate models are known for their poor out-of-sample prediction relative to rand...

Információk a könyvről

Szerző

Ahmed Alzahrani

Nyelv

Angol

Kötés

Könyv - Puha kötésű

Kiadva

2014

oldal

EAN

9783639711431

ISBN

3639711432

Enbook ID

06859317

Kiadó

Scholars' Press

Súly

127

Méretek

152 x 229 x 5

Teljes leírás

Conventional exchange rate models are known for their poor out-of-sample prediction relative to random walk. Different models seem to perform differently for different subsamples, forecast horizons, and exchange rates. Hence, there is intrinsic uncertainty about which forecasting model should be adopted. First chapter proposes factor combining technique for nesting all alternative models into a general one that outperforms each individual model. Factor combined forecasts demonstrate that all bilateral exchange rate models are misspecified due to the omission of common factors. The combined forecasts capture the statistical effect of the omitted factors and outperform random walk across forecast horizons; and, they are as accurate as those of best individual models for each forecast horizon. The rest of the book provides evidence that including four empirical factors significantly improves forecast accuracy and stability of best models for longer horizons. We find some evidence that the set of four empirical common factors sufficiently corresponds to the unknown common factors for long-term prediction; and reduces the uncertainty about optimal predictive models over long horizons.

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Exchange Rate Prediction under Model Uncertainty

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