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Forecasting foreign exchange rates: A comparative evaluation of AHP

Author

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  • Ülengin, F
  • Ülengin, B

Abstract

In the first part of this paper the US Dollar/DM exchange rates for two different time periods are forecast based on the analytical hierarchy process using the judgements of five experts. Then, the same forecasting activity is repeated via classical approaches namely Regression Analysis, ARIMA Modelling, VAR, Restricted VAR (RVAR) and Bayesian VAR (BVAR). Finally, the forecasting accuracy of the methods are compared and the results are evaluated.

Suggested Citation

  • Ülengin, F & Ülengin, B, 1994. "Forecasting foreign exchange rates: A comparative evaluation of AHP," Omega, Elsevier, vol. 22(5), pages 505-519, September.
    • Handle: RePEc:eee:jomega:v:22:y:1994:i:5:p:505-519
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    Citations

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    Cited by:

    1. Belton, Valerie & Goodwin, Paul, 1996. "Remarks on the application of the analytic hierarchy process to judgmental forecasting," International Journal of Forecasting, Elsevier, vol. 12(1), pages 155-161, March.
    2. Ceren Oral, 2016. "Analytical Hierarchy Process as a Tool for Investment Appraisal," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 306-311, April.
    3. Hossein Rezayi Dolatabadi & Avaz Yari & Fatemeh Faghani & Ali Akbar Abedi Sharabiany & Mohammad Hossein Forghani & Mohammad Kazem Emadzadeh, 2013. "Prioritizing of Credit Ranking Criterions of Isfahan State banks' Costumers by Using AHP Fuzzy Method," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(1), pages 303-313, January.
    4. Altay Guvenir, H. & Erel, Erdal, 1998. "Multicriteria inventory classification using a genetic algorithm," European Journal of Operational Research, Elsevier, vol. 105(1), pages 29-37, February.
    5. Vaidya, Omkarprasad S. & Kumar, Sushil, 2006. "Analytic hierarchy process: An overview of applications," European Journal of Operational Research, Elsevier, vol. 169(1), pages 1-29, February.
    6. Matteo Rossi & Gabriella Marcarelli & Antonella Ferraro & Antonio Lucadamo, 2020. "How do Calendar Anomalies Affect an Investment Choice? A Proposal of an Analytic Hierarchy Process Model," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 244-249.

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