Improving the 'Correctness' of Foreign Exchange Forecasts Th
Previous attempts at composite foreign exchange forecasting mainly deal with accuracy. However, many international finance scholars argue that the correctness criterion may be more appropriate for measuring short-term hedging decisions. A composite forecasting methodology is suggested that may impro...
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| Veröffentlicht in: | Management international review 1990-10, Vol.30 (4), p.331 |
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| creator | Kwok, Chuck C Y Lubecke, Thomas H |
| description | Previous attempts at composite foreign exchange forecasting mainly deal with accuracy. However, many international finance scholars argue that the correctness criterion may be more appropriate for measuring short-term hedging decisions. A composite forecasting methodology is suggested that may improve the correctness of foreign exchange forecasts. Under this methodology, the forward rate is included as one of the components for forming the composite forecast. The deviation-minimization criterion is applied to derive the composite weights. Ex post and ex ante tests are conducted to test the methodology. The empirical results lend partial support to the methodology. Furthermore, the composite foreign exchange forecasts obtained may simultaneously satisfy both the accuracy and correctness criteria. |
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| ispartof | Management international review, 1990-10, Vol.30 (4), p.331 |
| issn | 0938-8249 1861-8901 |
| language | eng |
| recordid | cdi_proquest_journals_202698221 |
| source | JSTOR Archive Collection A-Z Listing |
| subjects | Accuracy Business forecasts Comparative studies Criteria Forecasting techniques Foreign exchange rates Improvements Regression analysis |
| title | Improving the 'Correctness' of Foreign Exchange Forecasts Th |
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