期刊
NONLINEAR ANALYSIS-REAL WORLD APPLICATIONS
卷 11, 期 3, 页码 2023-2034出版社
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.nonrwa.2009.05.008
关键词
Singular spectrum analysis; Forecasting exchange rate; Random walk model; VAR; Diebold-Mariano test statistic
资金
- Institute for Studies and Research (ITSR), Tehran, Iran [88/121231]
This paper uses univariate and multivariate singular spectrum analysis for predicting the value and the direction of changes in the daily pound/dollar exchange rate. In prediction of daily pound/dollar rate, we use the rescaled and bootstrapped daily euro/dollar rate as a guidepost for the singular spectrum analysis method. We use the random walk model as a benchmark to evaluate performances of the singular spectrum analysis as a prediction method. Empirical results show that the forecast based on the multivariate singular spectrum analysis compares favorably to the forecast of the random walk model both for predicting the value and the direction of changes in the daily pound/dollar exchange rate. We compared the prediction results based on an error correction model in the context of a restricted vector autoregressive model and compared them with the prediction results by a random walk as well as by those of singular spectrum and multiple singular spectrum models and found that the VEC results are inferior. (C) 2009 Elsevier Ltd. All rights reserved.
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