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

被引：13

作者：

Costantini, Mauro ^{[1
]}

Cuaresma, Jesus Crespo ^{[2
,3
,4
,5
]}

Hlouskova, Jaroslava ^{[6
,7
]}

机构：

[1] Brunel Univ London, Dept Econ & Finance, Uxbridge, Middx, England

[2] Vienna Univ Econ & Business, Dept Econ, Welthandelspl 1, A-1020 Vienna, Austria

[3] Wittgenstein Ctr Demog & Global Human Capital WIC, Vienna, Austria

[4] Int Inst Appl Syst Anal IIASA, World Populat Program, Laxenburg, Austria

[5] Austrian Inst Econ Res WIFO, Vienna, Austria

[6] Inst Adv Studies, Dept Econ & Finance, Vienna, Austria

[7] Thompson Rivers Univ, Dept Econ, Kamloops, BC, Canada

来源：

JOURNAL OF FORECASTING | 2016年 / 35卷 / 07期

关键词：

exchange rate forecasting; forecast combination; multivariate time series models; profitability; INTEREST-RATE PARITY; REALITY CHECK; MONETARY FUNDAMENTALS; RATE MODELS; COMBINATION; VOLATILITY; REGRESSION; LESSONS; GROWTH; FIT;

D O I：

10.1002/for.2398

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We provide a comprehensive study of out-of-sample forecasts for the EUR/USD exchange rate based on multivariate macroeconomic models and forecast combinations. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations, in particular those based on principal components of forecasts, help to improve over benchmark trading strategies, although the excess return per unit of deviation is limited. Copyright (C) 2016 John Wiley & Sons, Ltd.

引用

页码：652 / 668

页数：17

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