Predicting Exchange Rates Using the Kalman Filter
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62690094%3A18450%2F20%3A50017045" target="_blank" >RIV/62690094:18450/20:50017045 - isvavai.cz</a>
Výsledek na webu
<a href="https://digilib.uhk.cz/bitstream/handle/20.500.12603/219/Fronckova%2c%20Prazak.pdf?sequence=1&isAllowed=y" target="_blank" >https://digilib.uhk.cz/bitstream/handle/20.500.12603/219/Fronckova%2c%20Prazak.pdf?sequence=1&isAllowed=y</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.36689/uhk/hed/2020-01-018" target="_blank" >10.36689/uhk/hed/2020-01-018</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Predicting Exchange Rates Using the Kalman Filter
Popis výsledku v původním jazyce
The Kalman filter is one of the classical algorithms of statistical estimation theory, which finds application in many different areas, including econometrics. One of the possible problems for which the Kalman filter can be suitably employed is the exchange rate prediction. Over the course of time, various authors have investigated the possibility of using the forward rate to predict the future spot rate. In general, however, it has been shown that the accuracy of the predictions based on the assumed equality between the forward rate and the future spot rate is not very satisfactory. The paper deals with the presentation and empirical evaluation of the possibilities of using the Kalman filter in predicting the future spot rate on the basis of the forward rate. Various models for describing the relationship between these rates are presented and their predictive performance is then assessed on the exchange rate data of currency pairs EUR/CZK and USD/CZK. The results show the benefits of using the Kalman filter.
Název v anglickém jazyce
Predicting Exchange Rates Using the Kalman Filter
Popis výsledku anglicky
The Kalman filter is one of the classical algorithms of statistical estimation theory, which finds application in many different areas, including econometrics. One of the possible problems for which the Kalman filter can be suitably employed is the exchange rate prediction. Over the course of time, various authors have investigated the possibility of using the forward rate to predict the future spot rate. In general, however, it has been shown that the accuracy of the predictions based on the assumed equality between the forward rate and the future spot rate is not very satisfactory. The paper deals with the presentation and empirical evaluation of the possibilities of using the Kalman filter in predicting the future spot rate on the basis of the forward rate. Various models for describing the relationship between these rates are presented and their predictive performance is then assessed on the exchange rate data of currency pairs EUR/CZK and USD/CZK. The results show the benefits of using the Kalman filter.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
—
OECD FORD obor
10103 - Statistics and probability
Návaznosti výsledku
Projekt
—
Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2020
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
Hradec economic days 2020/1
ISBN
978-80-7435-776-3
ISSN
2464-6059
e-ISSN
2464-6067
Počet stran výsledku
8
Strana od-do
161-168
Název nakladatele
Univerzita Hradec Králové
Místo vydání
Hradec Králové
Místo konání akce
Hradec Králové
Datum konání akce
2. 4. 2020
Typ akce podle státní příslušnosti
WRD - Celosvětová akce
Kód UT WoS článku
000568108700018