Performance evaluation of judgemental directional exchange rate predictions

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dc.citation.epage489en_US
dc.citation.issueNumber3en_US
dc.citation.spage473en_US
dc.citation.volumeNumber21en_US
dc.contributor.authorPollock, A. C.en_US
dc.contributor.authorMacaulay, A.en_US
dc.contributor.authorThomson, M. E.en_US
dc.contributor.authorÖnkal, D.en_US
dc.date.accessioned2015-07-28T11:57:24Z
dc.date.available2015-07-28T11:57:24Z
dc.date.issued2005en_US
dc.departmentDepartment of Managementen_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.en_US
dc.description.provenanceMade available in DSpace on 2015-07-28T11:57:24Z (GMT). No. of bitstreams: 1 10.1016-j.ijforecast.2004.12.006.pdf: 199091 bytes, checksum: 54534090da4f32850d26af0d586ecb01 (MD5)en
dc.identifier.doi10.1016/j.ijforecast.2004.12.006en_US
dc.identifier.eissn1872-8200
dc.identifier.issn0169-2070
dc.identifier.urihttp://hdl.handle.net/11693/11330
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.ijforecast.2004.12.006en_US
dc.source.titleInternational Journal of Forecastingen_US
dc.subjectAccuracyen_US
dc.subjectExchange rateen_US
dc.subjectForecastingen_US
dc.subjectJudgementen_US
dc.subjectProbabilityen_US
dc.titlePerformance evaluation of judgemental directional exchange rate predictionsen_US
dc.typeArticleen_US

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