| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1002/for.2398 |
| Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate. | |
| Costantini M; Crespo Cuaresma J; Hlouskova J | |
| 发表日期 | 2016 |
| 出处 | Journal of Forecasting 35 (7): 652-668 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We provide a comprehensive study of out-of-sample forecasts for the EUR/USD exchange rate based on multivariate macroeconomic models and forecast combinations. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations, in particular those based on principal components of forecasts, help to improve over benchmark trading strategies, although the excess return per unit of deviation is limited. |
| 主题 | World Population (POP) |
| 关键词 | exchange rate forecasting forecast combination multivariate time series models profitability |
| URL | http://pure.iiasa.ac.at/id/eprint/12332/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/130558 |
| 推荐引用方式 GB/T 7714 | Costantini M,Crespo Cuaresma J,Hlouskova J. Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate.. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| Forecasting%20Errors（387KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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