Combining forecasts: some results on exchange and interest rates

Billio, Domenico Sartore, Carlo Toffano, Monica
Authors registered in the RePEc Author Service: Monica Billio () and Domenico Sartore ()

European Journal of Finance, 2000, vol. 6, issue 2, pages 126-145

Abstract: The aim of this work is to investigate whether the combination of forecasts plays an important role in the improvement of forecast accuracy Particular attention is paid to: (a) the methods of forecasting (the methods compared are neural networks, fuzzy logic, GARCH models, switching regime and chaotic dynamics); (b) combining the forecasts provided by the different methods. This work has also the aim of revising a short-term econometric forecast using a longer-term forecast. The revision process usually runs the opposite way (revision is made on a longer-term forecast using a short-term one to reflect the current available information, but it is not excluded that it is possible to proceed as described above. Daily data from the financial market is used. Some empirical applications on exchange and interest rates are given.

Keywords: Forecast Combination Composite Forecasts Forecast Comparison Exchange Rates Interest Rates (search for similar items in EconPapers)
Date: 2000
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