Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory
Article Abstract:
Autoregressive fractionally integrated moving-average (ARFIMA) model of foreign exchange rates is analyzed. Forecasting accuracy of ARFIMA is compared with the random walk and monetary structural models.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2006
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A non-Gaussian generalization of the airline model for robust seasonal adjustment
Article Abstract:
Seasonal time series and autoregressive moving average models of the airline model is analyzed. State space and simulation methods of airline model are further discussed.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2006
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Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
Article Abstract:
Forecasting of currency exchange rates by using GARCH models under temporal dependence is discussed.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2006
User Contributions:
Comment about this article or add new information about this topic:
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