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Predicting daily exchange rate with singular spectrum analysis

✍ Scribed by Hossein Hassani; Abdol S. Soofi; Anatoly A. Zhigljavsky

Book ID
103864584
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
426 KB
Volume
11
Category
Article
ISSN
1468-1218

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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