Repozytorium publikacji - Politechnika Gdańska

The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-day- ahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underlying principles. The state space wavelet network model is, in contrast to econo- metric forecast combinations, a non-parametric prediction technique which does not make any distributional assumptions regarding the underlying input variables. Both methods can be used as forecasting tools in portfolio investment manage- ment, asset valuation, IT security and integrated bus iness risk intelligence in volatile market conditions.

Autorzy

• prof. dr hab. inż. Mieczysław Brdyś link otwiera się w nowej karcie ,
• Marcin Brdyś,
• Sebastian M. Maciejewski