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An analysis of the performance of European foreign exchange forecasters
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Marsh, Ian W. (1999) An analysis of the performance of European foreign exchange forecasters. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.7).
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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
Abstract
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) | ||||
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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 |
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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 | ||||
Official Date: | 1999 | ||||
Dates: |
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Volume: | Vol.1999 | ||||
Number: | No.7 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | Economic and Social Research Council (Great Britain) (ESRC), Nuffield Foundation (NF) | ||||
Grant number: | R000232945 (ESRC) |
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