Cointegration, error-correction models, and forecasting using realigned foreign exchange rates
Article Abstract:
A study was conducted on the use of error-correction models to predict foreign exchange rates. Non-aligned month-end rates were analyzed for comparative purposes. Results showed dissimilarities in the moments of the realized forecast error. The quantity of cointegrating vectors was also observed to vary by interval.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1995
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Risk premia and long rates in Ireland
Article Abstract:
In investigating bonds with long-term maturities, time varying risk premia are rejected as an influence, but the excess holding period return is found to be an influence on time-varying term premiums.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2001
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How well do analysts forecast interest rates?
Article Abstract:
The interest rate forecasts of several financial analysts were found to be slightly better than no change random walk forecasts.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1996
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