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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.

Author: Karemera, David, Kim, Benjamin J.C
Publisher: John Wiley & Sons, Inc.
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.

Author: Koopman, Siem Jan, Aston, John A.D.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2006
Taiwan, Netherlands, Air Transportation, Scheduled, And Air Courier Services, Analysis, Airlines

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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.

Author: Niguez, Trino-Manuel, Rubia, Antonio
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2006
Evaluation, Economic conditions, Economic forecasting

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Subjects list: Models, United States, Usage, Foreign exchange, Foreign exchange rates, Autoregression (Statistics)
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