Boero, Gianna - Marrocu, Emanuela (2000) La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza. Working Paper. CRENoS.
Official URL: http://www.crenos.it/working/pdf/00-14.pdf
In recent years there has been a considerable development in modelling nonlinearities and asymmetries in economic and financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some of the most traded exchange rates in terms of the US dollar, namely the French Franc (FF/$), the German Mark (DM/$) and the Japanese Yen (Y/$). We compare the relative performance of some nonlinear models and contrast them with their linear counterparts. Although we find evidence of some forecasting gains from nonlinear models, the results are sensitive to the forecast horizon and to the metric adopted to measure the forecasting accuracy. The use of data at different frequencies allows us to evaluate the possible effects of temporal aggregation.
|Item Type:||Technical Report / Working Paper / Project Report (Working Paper)|
|Institution:||Universita' degli Studi di Cagliari|
|Divisions:||Centri > CRENoS Centro Ricerche Economiche Nord Sud|
|Subjects:||Area 13 - Scienze economiche e statistiche > SECS-P/05 Econometria|
|Uncontrolled Keywords:||non-linearity, asymmetry, forecasting accuracy, aggregation, exchange rates|
|Deposited On:||12 Nov 2008 11:27|
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