Forecasting foreign exchange rates: A comparative evaluation of AHP

F Ülengin and B Ülengin

Omega, 1994, vol. 22, issue 5, 505-519

Abstract: In the first part of this paper the US Dollar/DM exchange rates for two different time periods are forecast based on the analytical hierarchy process using the judgements of five experts. Then, the same forecasting activity is repeated via classical approaches namely Regression Analysis, ARIMA Modelling, VAR, Restricted VAR (RVAR) and Bayesian VAR (BVAR). Finally, the forecasting accuracy of the methods are compared and the results are evaluated.

Keywords: forecasting; foreign; exchange; AHP; ARIMA; VAR; regression (search for similar items in EconPapers)
Date: 1994
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