The performance of exchange rate forecasting models: an economic evaluation

1991 ◽  
Vol 23 (1) ◽  
pp. 133-142 ◽  
Author(s):  
Mary E. Gerlow ◽  
Scott H. Irwin
Keyword(s):  
Exchange Rate ◽  
Economic Evaluation ◽  
Exchange Rate Forecasting ◽  
Forecasting Models

Stationarity test with a direct test for heteroskedasticity in exchange rate forecasting models

2017 ◽  
Author(s):  
Aye Aye Khin ◽  
Wong Hong Chau ◽  
Lim Chee Seong ◽  
Raymond Ling Leh Bin ◽  
Kevin Low Lock Teng
Keyword(s):  
Exchange Rate ◽  
Direct Test ◽  
Exchange Rate Forecasting ◽  
Forecasting Models ◽  
Stationarity Test

scholarly journals Exchange Rate Forecasting with Advanced Machine Learning Methods

2021 ◽  
Vol 15 (1) ◽  
pp. 2
Author(s):  
Jonathan Felix Pfahler
Keyword(s):  
Machine Learning ◽  
Neural Networks ◽  
Exchange Rate ◽  
Random Walk ◽  
Predictive Power ◽  
Exchange Rate Forecasting ◽  
Forecasting Models ◽  
Machine Learning Methods ◽  
Forecasting Performance ◽  
Out Of Sample

Historically, exchange rate forecasting models have exhibited poor out-of-sample performances and were inferior to the random walk model. Monthly panel data from 1973 to 2014 for ten currency pairs of OECD countries are used to make out-of sample forecasts with artificial neural networks and XGBoost models. Most approaches show significant and substantial predictive power in directional forecasts. Moreover, the evidence suggests that information regarding prediction timing is a key component in the forecasting performance.

Sign in / Sign up

Export Citation Format

Share Document