Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate

DOI10.1002/FOR.2398MaRDI QIDQ4596040zbMATH OpenOpenAlexFDO

Authors Jesús Crespo Cuaresma, Jaroslava Hlouskova, Mauro Costantini

Publication date 8 December 2017

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL http://pure.iiasa.ac.at/id/eprint/12332/1/Forecasting%20Errors%2C%20Directional%20Accuracy%20and%20Profitability%20of%20Currency%20Trading.pdf

zbMATH Keywords

forecast combinationmultivariate time series modelsprofitability

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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(4)

• Evaluating predictive performance of judgemental extrapolations from simulated currency series
• The US dollar/euro exchange rate: structural modeling and forecasting during the recent financial crises
• Forecasting exchange rates using asymmetric losses: a Bayesian approach
• A reliable ensemble forecasting modeling approach for complex time series with distributionally robust optimization

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