ORCID Profile
0000-0003-3192-9122
Current Organisation
Universal Business School Sydney
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Publisher: Elsevier BV
Date: 03-2004
Publisher: Informa UK Limited
Date: 11-0001
Publisher: Elsevier BV
Date: 2005
Publisher: Elsevier BV
Date: 12-1996
Publisher: Chapman and Hall/CRC
Date: 08-04-2009
Publisher: Elsevier BV
Date: 12-2000
Publisher: Elsevier BV
Date: 06-1999
Publisher: Springer Science and Business Media LLC
Date: 04-1996
DOI: 10.1007/BF01739683
Publisher: Elsevier BV
Date: 1999
Publisher: Elsevier BV
Date: 2011
Publisher: Elsevier BV
Date: 09-2018
Publisher: Elsevier BV
Date: 08-2017
Publisher: Emerald (MCB UP )
Date: 2005
Publisher: Elsevier BV
Date: 09-2001
Publisher: Emerald Group Publishing Limited
Date: 2011
Publisher: Elsevier BV
Date: 06-2008
Publisher: Elsevier
Date: 2014
Publisher: Elsevier BV
Date: 2002
Publisher: Elsevier BV
Date: 05-2006
Publisher: Emerald
Date: 03-2005
DOI: 10.1108/17439130510584874
Abstract: To develop an integrated approach to forecasting spot foreign exchange rates by incorporating some principles underlying long‐term dependence. The paper utilises the random‐walk framework to develop a stochastic forecast model wherein the sign (positive or negative) and magnitude (strong or weak) of dependence can be separately controlled. The integrated model demonstrates superior forecast performance over a conventional random walk. Using spot log prices and log price changes (returns) for the USD/AUD exchange rate, the initial outcomes of the study suggest that a priori knowledge of the underlying sign and magnitude of long‐term dependence yields out‐of‐s le forecasts superior to those of a random walk model. Independent assessment of the contribution to forecast accuracy of controlling for the sign of dependence between successive price changes only shows little additional improvement in out‐of‐s le forecast performance over the random walk null. The findings of the study have important ramifications for managerial finance as they provide important insights on expected future currency returns with potential advantages in currency hedging and/or timing of international capital flows. The contribution of this paper is to develop an original forecast model explicitly incorporating the conceptual and theoretical characteristics of long‐term dependent time series. By separating the key characteristics and modelling each in idually, the contribution of each to forecast accuracy can be evaluated.
Publisher: Elsevier BV
Date: 02-2005
Publisher: Elsevier BV
Date: 02-2007
Publisher: Elsevier BV
Date: 05-2007
Publisher: Elsevier BV
Date: 09-2005
Publisher: Elsevier BV
Date: 07-2005
Publisher: Informa UK Limited
Date: 09-2007
Publisher: Springer International Publishing
Date: 2018
No related grants have been discovered for Craig Ellis.