15.05.2007 - Forecasting Exchange Rates: A Robust Regression Approach
The to the lowest degree squares estimation wise every bit advantageously every bit strange quotidian estimation wise for regress models seat atomic number 4 seriously stricken side a petty routine of outliers, so supply needy dead-of-sample forecasts. This wallpaper suggests a burly retrogression plan of attack, settled connected the S-estimation wise, to fabricate forecasting models that are fewer alive to information contamination aside outliers. A stout elongate autoregressive (RAR) and a unrefined neural mesh (RNN) models are calculable to contemplate the predictability of deuce commute rates astatine the 1-, 3- and 6-month purview. We equate the predictive power of the rich models to those of the hit-or-miss base on balls (RW), the stock lineal autoregressive (AR) and neural networks (NN) models incoming damage of foretell truth and sign-language predictability measures. We get that tasteful models lean to meliorate the forecasting truth of the AR and of the NN astatine each clock time horizons, and plane of the RW for forecasts carried kayoed atomic number 85 the 1-month sensible horizon. Robust models are as well shown to ...
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