Professional economic forecasts: are they worth their costs?
Article Abstract:
Previous studies have belittled the predictive power of professional economic forecasts. These are believed to be only as good as or even less effective than simple forecasting models such as autoregressive, moving average models. However, such evaluations have been based on root mean squared error and other criteria that fail to explain the use and rational for such forecasts. Using forecast direction accuracy, which is highly correlated with profits, as an alternative criteria shows that professional forecasts perform better than simpler alternatives.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1995
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Non-linearity and exchange rates
Article Abstract:
Conditional heteroscedastic models (CHMs) have been used as tools in the econometric analysis of nominal exchange rates. Tests to determine if CHMs fully define non-linear properties of such rates for the US dollar showed that the models sufficiently addressed volatility clustering and volatility peaks for uncertain periods of the world market. Other currencies examined in the tests were the French franc, the British pound and the Japanese yen.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1998
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An assessment of the economic value of non-linear foreign exchange rate forecasts
Article Abstract:
Recursively computed non-linear forecasts may be better alternatives for predicting the direction of changes in daily exchange rates. Non-linear predictions can easily be implemented in a trading scheme outperforming payoffs from a buy-and-hold strategy. Evidence shows that mean squared error is not always the best measure for non-linear process prediction.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1995
User Contributions:
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