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

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 (1997) Linear and non-linear (non-)forecastability of high-frequency exchange rates. Journal of Forecasting, 16 (2). pp. 125-145. ISSN 1099-131X 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
URI	https://reading-clone.eprints-hosting.org/id/eprint/35991
Identification Number/DOI	10.1002/(SICI)1099-131X(199703)16:2<125::AID-FOR648>3.0.CO;2-T
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Wiley
Download/View statistics	View download statistics for this item