An analysis of the performance of European foreign exchange forecasters
Marsh, Ian W. (1999) An analysis of the performance of European foreign exchange forecasters. Working Paper. Warwick Business School Financial Econometrics Research Centre, University of Warwick.
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A database of individual forecasters' exchange rate predictions is analyzed. We demonstrate that only a small minority can be classed as rational, that most forecasts are inferior to easily available alternatives, and that relatively good performance in one period is not a reliable indicator of relatively good performance in subsequent periods.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School
|Library of Congress Subject Headings (LCSH):||Foreign exchange rates -- Forecasting|
|Series Name:||Working Papers Series|
|Publisher:||Warwick Business School Financial Econometrics Research Centre|
|Place of Publication:||University of Warwick|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
|Funder:||Economic and Social Research Council (Great Britain) (ESRC), Nuffield Foundation (NF)|
|Grant number:||R000232945 (ESRC)|
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