dc.contributor.author | Altavilla, Carlo | de |
dc.contributor.author | Grauwe, Paul de | de |
dc.date.accessioned | 2011-04-01T05:09:00Z | de |
dc.date.accessioned | 2012-08-29T23:08:04Z | |
dc.date.available | 2012-08-29T23:08:04Z | |
dc.date.issued | 2008 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/24298 | |
dc.description.abstract | This paper investigates the out-of-sample forecast performance of a set of competing models of exchange rate determination. We compare standard linear models with models that characterize the relationship between exchange rate and its underlying fundamentals by nonlinear dynamics. Linear models tend to outperform at short forecast horizons especially when deviations from long-term equilibrium are small. In contrast, nonlinear models with more elaborate mean-reverting components dominate at longer horizons especially when deviations from long-term equilibrium are large. The results also suggest that combining different forecasting procedures generally produces more accurate forecasts than can be attained from a single model. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | non-linearity; exchange rate modelling; forecasting | |
dc.title | Forecasting and combining competing models of exchange rate determination | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Applied Economics | de |
dc.source.volume | 42 | de |
dc.publisher.country | USA | |
dc.source.issue | 27 | de |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.subject.classoz | Political Economy | en |
dc.subject.classoz | Volkswirtschaftslehre | de |
dc.subject.thesoz | Prognoseverfahren | de |
dc.subject.thesoz | forecast procedure | en |
dc.subject.thesoz | Wechselkurs | de |
dc.subject.thesoz | rate of exchange | en |
dc.identifier.urn | urn:nbn:de:0168-ssoar-242984 | de |
dc.date.modified | 2011-04-04T15:06:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
internal.identifier.thesoz | 10043757 | |
internal.identifier.thesoz | 10055409 | |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 3455-3480 | |
internal.identifier.classoz | 10905 | |
internal.identifier.classoz | 1090300 | |
internal.identifier.journal | 21 | de |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/00036840802112505 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |