12332 11 45129 2 115765 document 45129 Forecasting Errors, Directional Accuracy and Profitability of Currency Trading.pdf application/pdf 40e06bada1adfc97ff5eeb26e11498e0 MD5 396671 2016-03-30 06:34:28 https://pure.iiasa.ac.at/id/eprint/12332/1/Forecasting%20Errors%2C%20Directional%20Accuracy%20and%20Profitability%20of%20Currency%20Trading.pdf 12332 1 1 application/pdf text en public cc_by

Forecasting Errors, Directional Accuracy and Profitability of Currency Trading.pdf

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/45129 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/45129 http://eprints.org/relation/issmallThumbnailVersionOf https://pure.iiasa.ac.at/id/document/45129 45134 1 115773 document 45134 indexcodes.txt text/x-pascal c7e4b1c443770d9f23644dee8f28eed9 MD5 13365 2016-03-30 06:34:57 https://pure.iiasa.ac.at/id/eprint/12332/6/indexcodes.txt 12332 6 6 text/x-pascal other Generate index codes conversion from text to indexcodes en public

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/45129 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/45129 http://eprints.org/relation/isIndexCodesVersionOf https://pure.iiasa.ac.at/id/document/45129 archive 2 disk0/00/01/23/32 2016-03-29 12:25:08 2021-08-27 17:40:25 2016-03-29 12:25:08 article show Costantini M. Crespo Cuaresma J. 1838 Hlouskova J. pub prog_pop exchange rate forecasting; forecast combination; multivariate time series models; profitability 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. 2016 published John Wiley & Sons Ltd 10.1002/for.2398 58 public Journal of Forecasting 35 7 652-668 TRUE 1099-131X FALSE no info:eu-repo/semantics/article