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La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza

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  • G. Boero

    ()

  • E. Marrocu

    ()

Abstract

In recent years there has been a considerable development in modelling nonlinearities 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

  • G. Boero & E. Marrocu, 2000. "La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza," Working Paper CRENoS 200014, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  • Handle: RePEc:cns:cnscwp:200014
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. R. Naylor, 2001. "Industry profits and market size under bilateral oligopoly," Working Paper CRENoS 200108, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    2. R. Naylor, 2001. "Firm profits and the number of firms under unionised oligopoly," Working Paper CRENoS 200109, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.

    More about this item

    Keywords

    non-linearity; asymmetry; forecasting accuracy; aggregation; exchange rates;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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