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dc.contributor.authorPollock, A. C.en_US
dc.contributor.authorMacaulay, A.en_US
dc.contributor.authorÖnkal-Atay, D.en_US
dc.contributor.authorWilkie-Thomson, M. E.en_US
dc.date.accessioned2016-02-08T10:41:30Z
dc.date.available2016-02-08T10:41:30Z
dc.date.issued1999en_US
dc.identifier.issn0377-2217
dc.identifier.urihttp://hdl.handle.net/11693/25251
dc.description.abstractJudgemental forecasting of exchange rates is critical for financial decision-making. Detailed investigations of the potential effects of time-series characteristics on judgemental currency forecasts demand the use of simulated series where the form of the signal and probability distribution of noise are known. The accuracy measures Mean Absolute Error (MAE) and Mean Squared Error (MSE) are frequently applied quantities in assessing judgemental predictive performance on actual exchange rate data. This paper illustrates that, in applying these measures to simulated series with Normally distributed noise, it may be desirable to use their expected values after standardising the noise variance. A method of calculating the expected values for the MAE and MSE is set out, and an application to financial experts' judgemental currency forecasts is presented.en_US
dc.language.isoEnglishen_US
dc.source.titleEuropean Journal of Operational Researchen_US
dc.subjectEvaluationen_US
dc.subjectExchange rateen_US
dc.subjectExpertiseen_US
dc.subjectForecastingen_US
dc.subjectJudgementen_US
dc.subjectComputational methodsen_US
dc.subjectComputer simulationen_US
dc.subjectData reductionen_US
dc.subjectDecision makingen_US
dc.subjectDecision theoryen_US
dc.subjectError analysisen_US
dc.subjectExtrapolationen_US
dc.subjectNormal distributionen_US
dc.subjectTime series analysisen_US
dc.subjectJudgemental forecastingen_US
dc.subjectMean absolute error (MAE)en_US
dc.subjectMean squared error (MSE)en_US
dc.subjectSimulated currency seriesen_US
dc.subjectRisk managementen_US
dc.titleEvaluating predictive performance of judgemental extrapolations from simulated currency seriesen_US
dc.typeArticleen_US
dc.departmentDepartment of Managementen_US
dc.citation.spage281en_US
dc.citation.epage293en_US
dc.citation.volumeNumber114en_US
dc.citation.issueNumber2en_US
dc.publisherElsevieren_US
dc.identifier.eissn1872-6860


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