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Articles in "Forecasting"
Why forecasts differ (and why they are so bad)?
Economic forecasters have not had a good press recently. Only the mavericks saw the global recession coming. Analysts forecasting company earnings have never had a great press. Their forecasts seem horribly inaccurate and often overoptimistic, with some dragged through the courts after telling their clients to buy and their friends to sell.
Updated: 06/03/2012
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Views: 3,364
Exchange rates and fundamentals: footloose or evolving relationship?
Using novel real-time data on a broad set of economic fundamentals for five major US dollar exchange rates over the recent float, we employ a predictive procedure that allows the relationship between exchange rates and fundamentals to evolve over time in a very general fashion.
Updated: 22/09/2011
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Views: 3,289
Exchange rate forecasting, order flow and macroeconomic information
This paper adds to the research efforts that aim to bridge the divide between macro and micro approaches to exchange rate economics by examining the linkages between exchange rate movements, order flow and expectations of macroeconomic variables.
Updated: 27/10/2011
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Views: 2,557
Estimation of factors for term structures with dependence clusters
This paper studies the importance of accounting for term structure maturity clusters while estimating latent factors for the purpose of forecasting yield curves.
Updated: 13/10/2011
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Views: 2,902
Effects of feedback on probabilistic forecasts of stock prices
This paper reports the results of an experiment in stock-price forecasting that investigated the effects of feedback on various dimensions of probability forecasting accuracy.
Updated: 22/09/2011
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Views: 2,633
Effects of task format on probabilistic forecasting of stock prices
This study aims to explore the differences in various dimensions of forecasting accuracy that may result from the task format used to elicit the probabilistic forecasts.
Updated: 22/09/2011
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Views: 2,963
Evaluating probabilistic forecasts of stock prices in a developing stock market
Recent literature on the accuracy of forecasting in financial markets reveals contradictory results. These discrepancies can be attributed to the differences in forecasting environments as well as the differences in forecaster expertise that are employed by the researchers.
Updated: 22/09/2011
Comments:
Views: 3,019
Evaluating probabilistic forecasts of stock prices in a developing stock market
Recent literature on the accuracy of forecasting in financial markets reveals contradictory results. These discrepancies can be attributed to the differences in forecasting environments as well as the differences in forecaster expertise that are employed by the researchers.
Updated: 22/09/2011
Comments:
Views: 3,019
An exploratory analysis of the portfolio managers' probabilistic forecasts of stock prices
This study reports the results of an experiment that examines (1) the effects of forecast horizon on the performance of probability forecasters, and (2) the alleged existence of an inverse expertise effect, i.e., an inverse relationship between expertise and probabilistic forecasting performance.
Updated: 22/09/2011
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Views: 2,945
On forecasting daily stock volatility: the role of intraday information and market conditions
This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample distributional properties and out-of-sample forecast ranking when the object of interest is the conventional conditional variance.
Updated: 22/09/2011
Comments:
Views: 2,454
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