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stat.AP2021★ 1 cited
A mixed-frequency approach for exchange rates predictions
Raffaele Mattera, Michelangelo Misuraca, Germana Scepi +1
Selecting an appropriate statistical model to forecast exchange rates is still today a relevant issue for policymakers and central bankers. The so-called Meese and Rogoff puzzle as…
stat.ME2021
Model-based fuzzy time series clustering of conditional higher moments
Roy Cerqueti, Massimiliano Giacalone, Raffaele Mattera
This paper develops a new time series clustering procedure allowing for heteroskedasticity, non-normality and model's non-linearity. At this aim, we follow a fuzzy approach. Specif…