Show simple item record

dc.contributor.authorPollock, A. C.en_US
dc.contributor.authorMacaulay, A.en_US
dc.contributor.authorThomson, M. E.en_US
dc.contributor.authorOnkal, D.en_US
dc.date.accessioned2015/07/28en_US
dc.date.accessioned2015-07-28T11:57:24Z
dc.date.available2015-07-28T11:57:24Z
dc.date.issued2005-09en_US
dc.identifier.citationPollock, A. C., Macaulay, A., Thomson, M. E., & Önkal, D. (2005). Performance evaluation of judgemental directional exchange rate predictions. International Journal of Forecasting, 21(3), 473-489.en_US
dc.identifier.issn0169-2070en_US
dc.identifier.urihttp://hdl.handle.net/11693/11330
dc.descriptionCataloged from PDF version of article.en_US
dc.description.abstractA procedure is proposed for examining different aspects of performance for judgemental directional probability predictions of exchange rate movements. In particular, a range of new predictive performance measures is identified to highlight specific expressions of strengths and weaknesses in judgemental directional forecasts. Proposed performance qualifiers extend the existing accuracy measures, enabling detailed comparisons of probability forecasts with ex-post empirical probabilities that are derived from changes in the logarithms of the series. This provides a multi-faceted evaluation that is straightforward for practitioners to implement, while affording the flexibility of being used in situations where the time intervals between the predictions have variable lengths. The proposed procedure is illustrated via an application to a set of directional probability exchange rate forecasts for the US Dollar/Swiss Franc from 23/7/96 to 7/12/99 and the findings are discussed. D 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.en_US
dc.language.isoEnglishen_US
dc.source.titleInternational Journal of Forecastingen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.ijforecast.2004.12.006en_US
dc.rightsCopyright © 2005 International Institute of Forecasters. Published by Elsevier B.Ven_US
dc.subjectAccuracyen_US
dc.subjectexchange Rateen_US
dc.subjectforecastingen_US
dc.subjectjudgementen_US
dc.subjectprobabilityen_US
dc.titlePerformance Evaluation of Judgmental Directional Exchange Rate Predictionsen_US
dc.typeArticleen_US
dc.departmentDepartment of Managementen_US
dc.citation.spage473en_US
dc.citation.epage489en_US
dc.citation.volumeNumber21en_US
dc.citation.issueNumber3en_US
dc.identifier.doi10.1016/j.ijforecast.2004.12.006en_US
dc.publisherElsevieren_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record