FORECASTING FOREIGN-EXCHANGE RATES - A COMPARATIVE-EVALUATION OF AHP


ULENGIN F., ULENGIN B.

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, vol.22, no.5, pp.505-519, 1994 (SSCI) identifier identifier

Abstract

In the first part of this paper the US Dollar/DM exchange rates for two different time periods are forecast based on the analytical hierarchy process using the judgements of five experts. Then, the same forecasting activity is repeated via classical approaches namely Regression Analysis, ARIMA Modelling, VAR, Restricted VAR (RVAR) and Bayesian VAR (BVAR). Finally, the forecasting accuracy of the methods are compared and the results are evaluated.