Forecasting Exchange Rates of Major Currencies with Long Maturity Forward Rates

Nonlinearity In Exchange Rates and Forecasting

Forecasting foreign exchange rates with

(2013) Forecasting foreign exchange rates with adaptive neural networks using radial basis functions and particle swarm optimization. The content must not be changed in any way or reproduced in any format or medium without the formal permission of the copyright holder(s) Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and particle swarm optimization...

Forecasting Disconnected Exchange Rates

Catalyzed by the work of Meese and Rogoff (1983), a large literature has documented the inability of empirical models to accurately forecast exchange rates out-of-sample. This paper extends the literature by introducing an empirical strategy that endogenously builds forecast models from a broad set of conventional exchange rate signals. The method is extremely flexible, allowing for potentially...

Foreign Exchange Rates Forecasting with Neural Networks

| In this paper, a neural network based foreign exchange rates forecasting method is discussed. Neural networks with time series and technical indicators as inputs are built to capture the underlying \rules" of the movement in currency exchange rates. Before using historical data to train the neural networks, the traditional R/S analysis is used to test the \eeciency" of each market. The study ...

Computational Forecasting of Two Exchange Rates

In this paper, genetic programming and artificial neural networks are employed to forecast two different exchange rates, US dollar/Japanese Yen and US dollar/Taiwan dollar. Extended forecasts (that go beyond one-step-ahead) obtained using the computational techniques were compared with naïve random walk predictions of the two exchange rates. Sixteen-step-ahead forecasts obtained using genetic p...