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
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Czech description
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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
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Result continuities
Project
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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
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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