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.

Analysis, Foreign exchange market, Error functions

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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.

Ireland, Models, Risk assessment, Prices and rates, Bonds, Bonds (Securities)

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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.

United States, Investment advice, Investment Advisory Services, Management, Evaluation, Financial services industry, Financial services, Interest rates, Investment advisers, Financial analysts, Forecasting

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