Forecasting Foreign Exchange Rates Using Objective Composite Models

■ In this study, the performance of ten mathematical (objective) composite models in terms of accuracy and correctness was examined. These composite models were employed to generate one-month forecasts of exchange rates for the British pound, the Deutsche mark, the French franc, the Japanese yen, and the Swiss franc over the period of 1986-1989. ■ The results indicated that two composite methods, the constrained linear combination model and the constrained multiple objective programming model, performed well according to the correctness criterion. However, in terms of accuracy, the focus forecasting and the technical models performed better.

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