Bayesian model averaging and exchange rate forecasts

DOI10.1016/J.JECONOM.2008.08.012zbMATH Open1429.62705OpenAlexW2126584287MaRDI QIDQ299226FDOQ299226

Authors: Jonathan H. Wright 

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.012

Recommendations

• A Bayesian vector error correction model for forecasting exchange rates.
• Factor model forecasts of exchange rates
• scientific article; zbMATH DE number 1260476
• Exchange rate forecasting: Results from a threshold autoregressive model
• Forecasting in dynamic factor models using Bayesian model averaging

zbMATH Keywords

bootstrapexchange ratesforecastingshrinkagemodel uncertainty

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and prediction (62M20)

Cites Work

• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Forecasting Using Principal Components From a Large Number of Predictors
• Bayesian Model Averaging for Linear Regression Models
• Bayes Factors
• Title not available (Why is that?)
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Frequentist Model Average Estimators
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Title not available (Why is that?)
• Comparing dynamic equilibrium models to data: a Bayesian approach

Cited In (25)

• Model averaging for asymptotically optimal combined forecasts
• Bayesian, MLE, and GMM Estimation of a Spot Rate Model
• A Bayesian vector error correction model for forecasting exchange rates.
• Dynamic prediction pools: an investigation of financial frictions and forecasting performance
• Combining probabilistic forecasts of intermittent demand
• The determinants of CDS spreads: evidence from the model space
• Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
• Forecasting exchange rates using asymmetric losses: a Bayesian approach
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Title not available (Why is that?)
• A model-averaging approach for high-dimensional regression
• Bayesian averaging, prediction and nonnested model selection
• A Bayesian analysis of the unit root in real exchange rates
• Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
• On the sources of uncertainty in exchange rate predictability
• A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity
• Factor model forecasts of exchange rates
• Sampling properties of the Bayesian posterior mean with an application to WALS estimation
• What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio
• Forecasting with factor-augmented regression: a frequentist model averaging approach
• Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability
• Predicting daily highs and lows of exchange rates: a cointegration analysis
• Predictive model averaging with parameter instability and heteroskedasticity
• Corrected Mallows criterion for model averaging
• Using an empirical Bayes model to estimate currency exchange rate

This page was built for publication: Bayesian model averaging and exchange rate forecasts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q299226)