An application of probability judgement accuracy measures to currency forecasting

An application of probability judgement accuracy measures to currency forecasting

0.00 Avg rating0 Votes
Article ID: iaor19961930
Country: Netherlands
Volume: 12
Issue: 1
Start Page Number: 25
End Page Number: 40
Publication Date: Jan 1996
Journal: International Journal of Forecasting
Authors: ,
Keywords: forecasting: applications
Abstract:

A general framework for examining the quality of judgement in a currency forecasting context is described. This framework incorporates existing probability judgement accuracy measures and adapts them in a way that takes full advantage of the precise nature of exchange rate time series data. It also includes error measures, which are widely used in time series contexts, and adapts them to a probabilistic form in order to provide additional information in specific circumstances. The advantages of the proposed measures are outlined and an application to some actual currency data is provided. The framework is described initially to deal with directional forecasts and then extended to deal with point value, statistical and composite forecasts.

Reviews

Required fields are marked *. Your email address will not be published.