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Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate

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  • Mauro Costantini
  • Jesus Crespo Cuaresma
  • Jaroslava Hlouskova

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  • Mauro Costantini & Jesus Crespo Cuaresma & Jaroslava Hlouskova, 2016. "Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(7), pages 652-668, November.
    • Handle: RePEc:wly:jforec:v:35:y:2016:i:7:p:652-668
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    Cited by:

    1. Casarin, Roberto & Costantini, Mauro & Paradiso, Antonio, 2021. "On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting," Economic Modelling, Elsevier, vol. 105(C).
    2. de Souza Vasconcelos, Camila & Hadad Júnior, Eli, 2023. "Forecasting exchange rate: A bibliometric and content analysis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 607-628.
    3. Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova, 2018. "Exchange rate forecasting and the performance of currency portfolios," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 519-540, August.
    4. Ballestra, Luca Vincenzo & Guizzardi, Andrea & Palladini, Fabio, 2019. "Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1250-1262.
    5. Crespo-Cuaresma, Jesus & Fortin, Ines & Hlouskova, Jaroslava & Obersteiner, Michael, 2021. "Regime-dependent commodity price dynamics: A predictive analysis," IHS Working Paper Series 28, Institute for Advanced Studies.
    6. Jesus Crespo Cuaresma & Jaroslava Hlouskova & Michael Obersteiner, 2021. "Agricultural commodity price dynamics and their determinants: A comprehensive econometric approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1245-1273, November.
    7. Constantin Bürgi & Dorine Boumans, 2020. "Categorical Forecasts and Non-Categorical Loss Functions," CESifo Working Paper Series 8266, CESifo.

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