The seminar will be held in the Visitor Centre at 3 pm.
Zsolt Darvas
Corvinus University
Abstract
This paper presents unprecedented forecasting results with a new model. Our error correction model assuming that long-maturity forward rates are stationary outperforms the random walk in out-of-sample forecasting at forecasting horizons mostly above one year, for US dollar exchange rates against nine industrial countries’ currencies, using the 1990-2006 period for evaluating out-of-sample forecasts. The improvement in forecast accuracy of our models is economically significant for most of the exchange rate series and statistically significant according to a bootstrap test. Our results are robust to the specification of the error correction model and to the underlying data frequency
Paper
http://web.uni-corvinus.hu/darvas/pdf/Darvas_Schepp_Forecasting_paper.pdf