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Linear and non-linear (non-)forecastability of high-frequency exchange rates

Brooks, C. (1997) Linear and non-linear (non-)forecastability of high-frequency exchange rates. Journal of Forecasting, 16 (2). pp. 125-145. ISSN 1099-131X

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To link to this item DOI: 10.1002/(SICI)1099-131X(199703)16:2<125::AID-FOR648>3.0.CO;2-T

Abstract/Summary

This paper forecasts Daily Sterling exchange rate returns using various naive, linear and non-linear univariate time-series models. The accuracy of the forecasts is evaluated using mean squared error and sign prediction criteria. These show only a very modest improvement over forecasts generated by a random walk model. The Pesaran–Timmerman test and a comparison with forecasts generated artificially shows that even the best models have no evidence of market timing ability.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35991
Publisher:Wiley

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