Predicting the exchange rate path: the importance of using up-to-date observations in the forecasts

DOI10.1007/978-3-031-14197-3_13MaRDI QIDQ6601943

Håvard Hungnes

Publication date: 11 September 2024

zbMATH Keywords

forecast evaluationforecast comparisonforecast performance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cites Work

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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• Forecasting Economic Time Series
• Tests of Conditional Predictive Ability

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