FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2038203165> ?p ?o ?g. }

• W2038203165 endingPage "380" @default.
• W2038203165 startingPage "369" @default.
• W2038203165 abstract "This paper presents an autoregressive fractionally integrated moving-average (ARFIMA) model of nominal exchange rates and compares its forecasting capability with the monetary structural models and the random walk model. Monthly observations are used for Canada, France, Germany, Italy, Japan and the United Kingdom for the period of April 1973 through December 1998. The estimation method is Sowell's (1992) exact maximum likelihood estimation. The forecasting accuracy of the long-memory model is formally compared to the random walk and the monetary models, using the recently developed Harvey, Leybourne and Newbold (1997) test statistics. The results show that the long-memory model is more efficient than the random walk model in steps-ahead forecasts beyond 1 month for most currencies and more efficient than the monetary models in multi-step-ahead forecasts. This new finding strongly suggests that the long-memory model of nominal exchange rates be studied as a viable alternative to the conventional models. Copyright © 2006 John Wiley & Sons, Ltd." @default.
• W2038203165 created "2016-06-24" @default.
• W2038203165 creator A5055847061 @default.
• W2038203165 creator A5002894928 @default.
• W2038203165 date "2006-01-01" @default.
• W2038203165 modified "2023-10-18" @default.
• W2038203165 title "Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory" @default.
• W2038203165 cites W1552362148 @default.
• W2038203165 cites W1572930125 @default.
• W2038203165 cites W1964356689 @default.
• W2038203165 cites W1968228269 @default.
• W2038203165 cites W1973694910 @default.
• W2038203165 cites W1985751404 @default.
• W2038203165 cites W1986372184 @default.
• W2038203165 cites W2000531222 @default.
• W2038203165 cites W2000842688 @default.
• W2038203165 cites W2004759721 @default.
• W2038203165 cites W2010156378 @default.
• W2038203165 cites W2013833830 @default.
• W2038203165 cites W2025157128 @default.
• W2038203165 cites W2035737640 @default.
• W2038203165 cites W2037323240 @default.
• W2038203165 cites W2041462006 @default.
• W2038203165 cites W2046738567 @default.
• W2038203165 cites W2055781590 @default.
• W2038203165 cites W2066384319 @default.
• W2038203165 cites W2071326721 @default.
• W2038203165 cites W2071776710 @default.
• W2038203165 cites W2075280911 @default.
• W2038203165 cites W2077655468 @default.
• W2038203165 cites W2086831870 @default.
• W2038203165 cites W2124357853 @default.
• W2038203165 cites W2137873244 @default.
• W2038203165 cites W3121544175 @default.
• W2038203165 cites W3125143237 @default.
• W2038203165 cites W4242671632 @default.
• W2038203165 cites W4256232074 @default.
• W2038203165 doi "https://doi.org/10.1002/for.994" @default.
• W2038203165 hasPublicationYear "2006" @default.
• W2038203165 type Work @default.
• W2038203165 sameAs 2038203165 @default.
• W2038203165 citedByCount "7" @default.
• W2038203165 countsByYear W20382031652015 @default.
• W2038203165 countsByYear W20382031652021 @default.
• W2038203165 countsByYear W20382031652023 @default.
• W2038203165 crossrefType "journal-article" @default.
• W2038203165 hasAuthorship W2038203165A5002894928 @default.
• W2038203165 hasAuthorship W2038203165A5055847061 @default.
• W2038203165 hasBestOaLocation W20382031652 @default.
• W2038203165 hasConcept C105795698 @default.
• W2038203165 hasConcept C121194460 @default.
• W2038203165 hasConcept C1297061 @default.
• W2038203165 hasConcept C139719470 @default.
• W2038203165 hasConcept C149782125 @default.
• W2038203165 hasConcept C151406439 @default.
• W2038203165 hasConcept C159877910 @default.
• W2038203165 hasConcept C162324750 @default.
• W2038203165 hasConcept C187736073 @default.
• W2038203165 hasConcept C24338571 @default.
• W2038203165 hasConcept C2776988154 @default.
• W2038203165 hasConcept C2986394398 @default.
• W2038203165 hasConcept C33923547 @default.
• W2038203165 hasConcept C41008148 @default.
• W2038203165 hasConcept C91602232 @default.
• W2038203165 hasConcept C96250715 @default.
• W2038203165 hasConceptScore W2038203165C105795698 @default.
• W2038203165 hasConceptScore W2038203165C121194460 @default.
• W2038203165 hasConceptScore W2038203165C1297061 @default.
• W2038203165 hasConceptScore W2038203165C139719470 @default.
• W2038203165 hasConceptScore W2038203165C149782125 @default.
• W2038203165 hasConceptScore W2038203165C151406439 @default.
• W2038203165 hasConceptScore W2038203165C159877910 @default.
• W2038203165 hasConceptScore W2038203165C162324750 @default.
• W2038203165 hasConceptScore W2038203165C187736073 @default.
• W2038203165 hasConceptScore W2038203165C24338571 @default.
• W2038203165 hasConceptScore W2038203165C2776988154 @default.
• W2038203165 hasConceptScore W2038203165C2986394398 @default.
• W2038203165 hasConceptScore W2038203165C33923547 @default.
• W2038203165 hasConceptScore W2038203165C41008148 @default.
• W2038203165 hasConceptScore W2038203165C91602232 @default.
• W2038203165 hasConceptScore W2038203165C96250715 @default.
• W2038203165 hasIssue "5" @default.
• W2038203165 hasLocation W20382031651 @default.
• W2038203165 hasLocation W20382031652 @default.
• W2038203165 hasOpenAccess W2038203165 @default.
• W2038203165 hasPrimaryLocation W20382031651 @default.
• W2038203165 hasRelatedWork W2134715408 @default.
• W2038203165 hasRelatedWork W2161890238 @default.
• W2038203165 hasRelatedWork W2356351104 @default.
• W2038203165 hasRelatedWork W2553062461 @default.
• W2038203165 hasRelatedWork W2795929874 @default.
• W2038203165 hasRelatedWork W2913626262 @default.
• W2038203165 hasRelatedWork W305300913 @default.
• W2038203165 hasRelatedWork W3123696124 @default.
• W2038203165 hasRelatedWork W763345973 @default.
• W2038203165 hasRelatedWork W2185192514 @default.
• W2038203165 hasVolume "25" @default.
• W2038203165 isParatext "false" @default.

• next