search query: @author Guerard, J. B. / total: 5
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| Author: | Guerard, J. B. |
| Title: | Composite model building for foreign exchange rates. (!Combining forecasts) |
| Journal: | Journal of Forecasting
1989 : JUL-SEP, VOL. 8:3, p. 315-329 |
| Index terms: | FORECASTING EXCHANGE RATES ECONOMIC FORECASTING |
| Language: | eng |
| Abstract: | It has been shown in recent economic and statistical studies that composite forecasts may produce more accurate results than individual ones. In this study composite forecasting models are developed that may produce forecasts superior to the individual forecast implicit in forward exchange rates. It is shown that the high degree of correlation among bank, time series and forward price forecasts of foreign exchange provides an excellent example for biased regression results. In an efficient market one would expect to find little improvement with the composite models relative to the forward exchange rate. |
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