Bayesian Model Averaging and exchange rate forecasts

Citations

Cited by:

1. Jäckel, Christoph, 2013. "Model uncertainty and expected return proxies," MPRA Paper 51978, University Library of Munich, Germany.
2. Aye, Goodness & Gupta, Rangan & Hammoudeh, Shawkat & Kim, Won Joong, 2015. "Forecasting the price of gold using dynamic model averaging," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 257-266.
   • Goodness C. Aye & Rangan Gupta & Shawkat Hammoudeh & Won Joong Kim, 2014. "Forecasting the Price of Gold Using Dynamic Model Averaging," Working Papers 201415, University of Pretoria, Department of Economics.
3. Raheem, Ibrahim, 2020. "Global financial cycles and exchange rate forecast: A factor analysis," MPRA Paper 105358, University Library of Munich, Germany.
4. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2013. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 240-251, April.
   • Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Working Paper series 42_10, Rimini Centre for Economic Analysis.
   • Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers 1196, Society for Economic Dynamics.
   • Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should macroeconomic forecasters use daily financial data and how?," University of Cyprus Working Papers in Economics 09-2010, University of Cyprus Department of Economics.
5. Niko Hauzenberger & Florian Huber, 2020. "Model instability in predictive exchange rate regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
   • Hauzenberger, Niko & Huber, Florian, 2018. "Model instability in predictive exchange rate regressions," Working Papers in Economics 2018-8, University of Salzburg.
   • Hauzenberger, Niko & Huber, Florian, 2018. "Model instability in predictive exchange rate regressions," Department of Economics Working Paper Series 276, WU Vienna University of Economics and Business.
   • Niko Hauzenberger & Florian Huber, 2018. "Model instability in predictive exchange rate regressions," Department of Economics Working Papers wuwp276, Vienna University of Economics and Business, Department of Economics.
   • Niko Hauzenberger & Florian Huber, 2018. "Model instability in predictive exchange rate regressions," Papers 1811.08818, arXiv.org, revised Dec 2018.
6. Hasan, Iftekhar & Horvath, Roman & Mares, Jan, 2020. "Finance and wealth inequality," Journal of International Money and Finance, Elsevier, vol. 108(C).
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   • Iftekhar Hasan & Roman Horvath & Jan Mares, 2018. "Finance and Wealth Inequality," Working Papers IES 2018/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2018.
7. P. A. Nazarov & Kazakova, Maria, 2014. "Theoretical Basis of Prediction of Main Budget Parameters of Country," Published Papers r90221, Russian Presidential Academy of National Economy and Public Administration.
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   • Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia 853, Banco de la Republica de Colombia.
   • Melo-Velandia, Luis Fernando & Loaiza, Rubén & Villamizar-Villegas, Mauricio, 2019. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Working papers 8, Red Investigadores de Economía.
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11. Chen, Yi-Ting & Liu, Chu-An, 2023. "Model averaging for asymptotically optimal combined forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 592-607.
    • Yi-Ting Chen & Chu-An Liu, 2021. "Model Averaging for Asymptotically Optimal Combined Forecasts," IEAS Working Paper : academic research 21-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.
12. Rockey, James & Temple, Jonathan, 2016. "Growth econometrics for agnostics and true believers," European Economic Review, Elsevier, vol. 81(C), pages 86-102.
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13. Mehmet Balcilar & Rangan Gupta & Clement Kyei & Mark E. Wohar, 2016. "Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test," Open Economies Review, Springer, vol. 27(2), pages 229-250, April.
    • Mehmet Balcilar & Rangan Gupta & Clement Kyei & Mark Wohar, 2015. "Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201599, University of Pretoria, Department of Economics.
14. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
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15. Eicher, Theo S. & García-Peñalosa, Cecilia & Kuenzel, David J., 2018. "Constitutional rules as determinants of social infrastructure," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 182-209.
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16. Siemsen, Thomas & Vilsmeier, Johannes, 2017. "A stress test framework for the German residential mortgage market: Methodology and application," Discussion Papers 37/2017, Deutsche Bundesbank.
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18. Gupta, Rangan & Hammoudeh, Shawkat & Kim, Won Joong & Simo-Kengne, Beatrice D., 2014. "Forecasting China's foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 170-189.
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19. Mr. Tamim Bayoumi & Mr. Andrew J Swiston, 2008. "Spillovers Across NAFTA," IMF Working Papers 2008/003, International Monetary Fund.
20. Han Lin Shang, 2012. "Point and interval forecasts of age-specific life expectancies," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 27(21), pages 593-644.
21. Li, Gang & Li, Yong, 2015. "Forecasting copper futures volatility under model uncertainty," Resources Policy, Elsevier, vol. 46(P2), pages 167-176.
22. Baele, Lieven & De Bruyckere, Valerie & De Jonghe, Olivier & Vander Vennet, Rudi, 2015. "Model uncertainty and systematic risk in US banking," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 49-66.
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23. Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
24. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
25. Rodney W. Strachan & Herman K. Van Dijk, 2013. "Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(1), pages 385-402, February.
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26. Joscha Beckmann & Rainer Schüssler, 2014. "Forecasting Exchange Rates under Model and Parameter Uncertainty," CQE Working Papers 3214, Center for Quantitative Economics (CQE), University of Muenster.
27. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
28. Amat, Christophe & Michalski, Tomasz & Stoltz, Gilles, 2018. "Fundamentals and exchange rate forecastability with simple machine learning methods," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 1-24.
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29. Angela He & Alan Wan, 2009. "Predicting daily highs and lows of exchange rates: a cointegration analysis," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(11), pages 1191-1204.
30. Kapetanios, George & Labhard, Vincent & Price, Simon, 2006. "Forecasting using predictive likelihood model averaging," Economics Letters, Elsevier, vol. 91(3), pages 373-379, June.
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33. Kim, Hyun Hak & Swanson, Norman R., 2014. "Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence," Journal of Econometrics, Elsevier, vol. 178(P2), pages 352-367.
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34. Montgomery, Jacob M. & Hollenbach, Florian M. & Ward, Michael D., 2015. "Calibrating ensemble forecasting models with sparse data in the social sciences," International Journal of Forecasting, Elsevier, vol. 31(3), pages 930-942.
35. Beckmann, Joscha & Czudaj, Robert, 2017. "The impact of uncertainty on professional exchange rate forecasts," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 296-316.
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40. Jing Zeng, 2015. "Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates," Working Paper Series of the Department of Economics, University of Konstanz 2015-11, Department of Economics, University of Konstanz.
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42. Kapetanios, George & Labhard, Vincent & Price, Simon, 2008. "Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 33-41, January.
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44. Simionescu, Mihaela, 2014. "Bayesian Forecasts Combination To Improve The Romanian Inflation Predictions Based On Econometric Models," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 5(2), pages 131-140.
45. Beckmann, Joscha & Schüssler, Rainer, 2016. "Forecasting exchange rates under parameter and model uncertainty," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 267-288.
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