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. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.7).
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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|Status:||Not Peer Reviewed|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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