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Correlation, base-rates, and the predictability of behaviour

✍ Scribed by MacLennan, Richard Neil


Book ID
123060425
Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
1003 KB
Volume
9
Category
Article
ISSN
0191-8869

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## Abstract At what forecast horizon is one time series more predictable than another? This paper applies the Diebold–Kilian conditional predictability measure to assess the out‐of‐sample performance of three alternative models of daily GBP/USD and DEM/USD exchange rate returns. Predictability is d