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Modelli non lineari per i tassi di cambio: un confronto previsivo con dati a diversa frequenza

Author

Listed:
  • Gianna Boero

    (Universita degli Studi di Cagliari, CRENoS, Cagliari, e University of Warwick, Warwick (Gran Bretagna))

  • Emanuela Marrocu

    (Universita degli Studi di Cagliari, CRENoS, Cagliari)

Abstract

In recent years there has been a considerable development in modelling non-linearities and asymmetries in economic and financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some of the most traded exchange rates in terms of the US dollar, namely the French franc (FF/$), the German mark (DM/$) and the Japanese yen (Y/$. We compare the relative performance of some nonlinear models and contrast them with their linear counterparts. Although we find evidence of some forecasting gains from nonlinear models, the results are sensitive to the forecast horizon and to the metric adopted to measure the forecasting accuracy. The use of data at different frequencies allows us to evaluate the possible effects of temporal aggregation.

Suggested Citation

  • Gianna Boero & Emanuela Marrocu, 2000. "Modelli non lineari per i tassi di cambio: un confronto previsivo con dati a diversa frequenza," Moneta e Credito, Economia civile, vol. 53(212), pages 385-415.
    • Handle: RePEc:psl:moneta:2000:41
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    File URL: http://ojs.uniroma1.it/index.php/monetaecredito/article/view/9805/9690
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    Cited by:

    1. Gianna Boero & Emanuela Marrocu, 2005. "Evaluating non-linear models on point and interval forecasts: an application with exchange rates," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 58(232), pages 91-120.

    More about this item

    Keywords

    Exchange Rates; Forecasting; Modeling;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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