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本文提出在加权损失函数下构建汇率预测的广义指数预报因子模型。该方法首先选取有限个不同滑动参数构造指数预报因子,同时基于绝对值损失和平方损失的提出加权损失函数作为变量筛选的准则,然后在该准则下将指数预报因子进行线性组合,建立汇率预报的广义指数预报因子模型。本文最后用英镑/美元单周汇率数据与文献中的一些已有方法做比较,实证分析表明本文提出的方法在汇率预测效果上有较大改进。
This paper proposes to construct a generalized exponential factor model of exchange rate forecast under the weight loss function. Firstly, a finite number of different sliding parameters are chosen to construct exponential forecasting factor. At the same time, a weighting loss function is proposed based on absolute loss and squared loss as a variable screening criterion. Then the exponential forecasting factors are linearly combined to establish the exchange rate forecasting Generalized Index Forecasting Factor Model. At the end of this paper, we compare the GBP / USD one-week exchange rate with some existing methods in the literature. Empirical analysis shows that the method proposed in this paper has greatly improved the exchange rate forecasting effect.