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

Gianna Boero () and Emanuela Marrocu

Working Paper CRENoS from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia

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.

Keywords: non-linearity; asymmetry; forecasting accuracy; aggregation; exchange rates (search for similar items in EconPapers)
JEL-codes: C22 C51 C53 E17 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (4)

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