Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5107346 | Research in International Business and Finance | 2017 | 32 Pages |
Abstract
We highlight the importance of standardizing the forecast errors with their volatility. The predictive accuracy of the models is investigated for the FTSE100, DAX30 and CAC40 European stock indices and the exchange rates of Euro to British Pound, US Dollar and Japanese Yen. Additionally, a trading strategy defined by the standardized forecast errors provides higher returns compared to the strategy based on the simple forecast errors. The exploration of forecast errors is paving the way for rethinking the evaluation of ultra-high frequency realized volatility models.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Stavros Degiannakis,