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• W2187766597 abstract "We apply a methodology to produce density forecasts for exchange rates using a number of well known exchange rate fundamentals panel models. Density combination of each model utilizes a set of weights computed using a linear mixture of experts framework to produce potentially non-Gaussian exchange rate forecast densities. In our application, to quarterly data for ten currencies (including the Euro) for the period 1990q1-2008q4, we show that the combined forecast densities, taking into account model and break date uncertainty, produce well calibrated densities at both short and long horizons. They out perform densities combined using equal weights, as well as those produced using best single models and random walk benchmark models. Calculations of the probability of the exchange rate rising or falling using the combined model show a good correspondence with known events and potentially provide a useful measure for uncertainty of whether the exchange rate is likely to rise of fall." @default.
• W2187766597 created "2016-06-24" @default.
• W2187766597 creator A5011664351 @default.
• W2187766597 date "2011-01-01" @default.
• W2187766597 modified "2023-09-26" @default.
• W2187766597 title "Forecasting Exchange Rate Densities Using Panels and Model Averaging" @default.
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• W2187766597 hasPublicationYear "2011" @default.
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