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Exchange Rates Forecasting: Can Jump Models Combined with Macroeconomic Fundamentals Help?

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21630%2F16%3A00302529" target="_blank" >RIV/68407700:21630/16:00302529 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.18267/j.pep.581" target="_blank" >http://dx.doi.org/10.18267/j.pep.581</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.18267/j.pep.581" target="_blank" >10.18267/j.pep.581</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Exchange Rates Forecasting: Can Jump Models Combined with Macroeconomic Fundamentals Help?

  • Original language description

    Connection between macroeconomic variables and foreign exchange (FX) rates evaluated in the context of out-of-sample forecasting is a well-known problem in economics. We propose a method that utilizes stochastic models based on jump processes (namely the normal inverse Gaussian and Meixner models), combines them with macroeconomic fundamentals, and using a moving (rolling or recursive) regularized estimation procedure produces forecasts of FX rates. These are compared to benchmark models, namely the direct forecast and the Gauss model forecast. Empirical out-of-sample experiments are performed on EUR/USD and USD/DKK currencies.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AE - Management, administration and clerical work

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2016

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Prague Economic Papers

  • ISSN

    1210-0455

  • e-ISSN

  • Volume of the periodical

    25

  • Issue of the periodical within the volume

    5

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    20

  • Pages from-to

    527-546

  • UT code for WoS article

    000385990200002

  • EID of the result in the Scopus database

    2-s2.0-84991663475