Evaluating predictive performance of judgemental extrapolations from simulated currency series
dc.citation.epage | 293 | en_US |
dc.citation.issueNumber | 2 | en_US |
dc.citation.spage | 281 | en_US |
dc.citation.volumeNumber | 114 | en_US |
dc.contributor.author | Pollock, A. C. | en_US |
dc.contributor.author | Macaulay, A. | en_US |
dc.contributor.author | Önkal-Atay, D. | en_US |
dc.contributor.author | Wilkie-Thomson, M. E. | en_US |
dc.date.accessioned | 2016-02-08T10:41:30Z | |
dc.date.available | 2016-02-08T10:41:30Z | |
dc.date.issued | 1999 | en_US |
dc.department | Department of Management | en_US |
dc.description.abstract | Judgemental 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.description.provenance | Made available in DSpace on 2016-02-08T10:41:30Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 1999 | en |
dc.identifier.eissn | 1872-6860 | |
dc.identifier.issn | 0377-2217 | |
dc.identifier.uri | http://hdl.handle.net/11693/25251 | |
dc.language.iso | English | en_US |
dc.publisher | Elsevier | en_US |
dc.source.title | European Journal of Operational Research | en_US |
dc.subject | Evaluation | en_US |
dc.subject | Exchange rate | en_US |
dc.subject | Expertise | en_US |
dc.subject | Forecasting | en_US |
dc.subject | Judgement | en_US |
dc.subject | Computational methods | en_US |
dc.subject | Computer simulation | en_US |
dc.subject | Data reduction | en_US |
dc.subject | Decision making | en_US |
dc.subject | Decision theory | en_US |
dc.subject | Error analysis | en_US |
dc.subject | Extrapolation | en_US |
dc.subject | Normal distribution | en_US |
dc.subject | Time series analysis | en_US |
dc.subject | Judgemental forecasting | en_US |
dc.subject | Mean absolute error (MAE) | en_US |
dc.subject | Mean squared error (MSE) | en_US |
dc.subject | Simulated currency series | en_US |
dc.subject | Risk management | en_US |
dc.title | Evaluating predictive performance of judgemental extrapolations from simulated currency series | en_US |
dc.type | Article | en_US |
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