𝔖 Bobbio Scriptorium
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Composite model building for foreign exchange rates

✍ Scribed by John B. Guerard Jr

Book ID
102843267
Publisher
John Wiley and Sons
Year
1989
Tongue
English
Weight
828 KB
Volume
8
Category
Article
ISSN
0277-6693

No coin nor oath required. For personal study only.

✦ Synopsis

It has been shown in recent economic and statistical studies that composite forecasts may produce more accurate forecasts than individual ones. The purpose of this study is to develop composite forecasting models that may produce forecasts superior to the individual forecast implicit in forward exchange rates. In an efficient market one would expect to find little improvement with the composite models relative to the forward exchange rate.

KEY WORDS Combining forecasts Foreign exchange rates Multicollinearity

A large recent literature has developed to support the estimation of composite modeling

πŸ“œ SIMILAR VOLUMES

Model specification and forecasting fore
Model specification and forecasting foreign exchange rates with vector autoregressions
✍ Dr. Nathan Lael Joseph πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 546 KB

## Abstract This study examines the forecasting accuracy of alternative vector autoregressive models each in a seven‐variable system that comprises in turn of daily, weekly and monthly foreign exchange (FX) spot rates. The vector autoregressions (VARs) are in non‐stationary, stationary and error‐co