Predictive power and unbiasedness of implied forward charter rates
Article Abstract:
The predictive power and efficiency of implied forward shipping charter rates was examined. It was hypothesized that implied forward 6-month time-charter rates were unbiased and effective in predicting future time-charter rates. Statistical tests confirmed this hypothesis, and the study found that compared with alternative univariate and multivariate time series models, implied forward rates had better forecasts.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2007
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Forecasting domestic liquidity during a crisis: what works best?
Article Abstract:
The study was conducted to determine whether linear time series, nonlinear time series, or behavioral models are effective in accounting for liquidity dynamics during bank crises. Behavioral models performed well in predicting liquidity trends during the crisis in South America, in both the short and long run. On the other hand, the nonlinear models performed well over very short periods.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2007
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Long-memory forecasting of US monetary indices
Article Abstract:
A study on forecasting of monetary indices of the United States is examined.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2006
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