EXCHANGE RATE FORECASTING WITH OPTIMUM SINGULAR SPECTRUM ANALYSIS

作     者：GHODSI Mansi YARMOHAMMADI Masoud 

作者机构：Executive Business Center Bourremouth University 89 Holdenhurst Road BH8 8EB UK Institute for In-ternational Energy Studies Tehran Iran. Department of Statistics Payame Noor University 19395-3697 Tehran I. R. Iran. 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2014年第27卷第1期

页      面：47-55页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：supported by a grant from Payame Noor University  Tehran-Iran 

主　　题：Exchange rate forecasting optimal singular spectrum analysis singular value windowlength. 

摘      要：Forecasting exchange rate is undoubtedly an attractive and challenging issue that has been of interest in different domains for many years. The singular spectrum analysis （SSA） technique has been used as a promising technique for time series forecasting including exchange rate series. The SSA technique is based upon two main choices： Window length, L, and the number of singular values, r. These values are very important for the reconstruction stage and forecasting purposes. Here the authors consider an optimum version of the SSA technique for forecasting exchange rates. The forecasting performances of the SSA technique for one-step-ahead forecast of six exchange rate series are used to find the best L and r.