Forecasting foreign exchange rates: A comparative evaluation of AHP

F. Ülengin; B. Ülengin

doi:10.1016/0305-0483(94)90031-0

Forecasting foreign exchange rates: A comparative evaluation of AHP

F. Ülengin^*
, B. Ülengin

^*Corresponding author for this work

Department of Management Engineering

Istanbul Technical University

Research output: Contribution to journal › Article › peer-review

17 Citations (Scopus)

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.

Original language	English
Pages (from-to)	505-519
Number of pages	15
Journal	Omega (United Kingdom)
Volume	22
Issue number	5
DOIs	https://doi.org/10.1016/0305-0483(94)90031-0
Publication status	Published - Sept 1994

Keywords

AHP
ARIMA
forecasting
foreign exchange
regression
VAR

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10.1016/0305-0483(94)90031-0

Cite this

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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.",

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AB - 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.

KW - AHP

KW - ARIMA

KW - forecasting

KW - foreign exchange

KW - regression

KW - VAR

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ER -

Forecasting foreign exchange rates: A comparative evaluation of AHP

Abstract

Keywords

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