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An analysis of the performance of European foreign exchange forecasters

By Ian W. Marsh

Abstract

A database of individual forecasters' exchange rate\ud predictions is analyzed. We demonstrate that only a small minority can\ud be classed as rational, that most forecasts are inferior to easily available\ud alternatives, and that relatively good performance in one period is not a\ud reliable indicator of relatively good performance in subsequent periods

Topics: HG
Publisher: Warwick Business School Financial Econometrics Research Centre
Year: 1999
OAI identifier: oai:wrap.warwick.ac.uk:1841

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