Modelli non lineari per i tassi di cambio: un confronto previsivo con dati a diversa frequenza (The Performance of Nonlinear Exchange Rate Models: A Forecasting Comparison with Data at Different Frequencies)

Gianna Boero, Emanuela Marrocu
2012 Moneta e Credito  
In recent years there has been a considerable development in modelling non-linearities and asymmetries in economic and financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some of the most traded exchange rates in terms of the US dollar, namely the French franc (FF/$), the German mark (DM/$) and the Japanese yen (Y/$. We compare the relative performance of some nonlinear models and contrast them with their linear
more » ... linear counterparts. Although we find evidence of some forecasting gains from nonlinear models, the results are sensitive to the forecast horizon and to the metric adopted to measure the forecasting accuracy. The use of data at different frequencies allows us to evaluate the possible effects of temporal aggregation. JEL Codes: F31, F37, C53Keywords: Exchange Rates, Forecasting, Modeling
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