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2016 | 26 | 1 | 161-173
Tytuł artykułu

Adaptive predictions of the euro/złoty currency exchange rate using state space wavelet networks and forecast combinations

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The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-dayahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underlying principles. The state space wavelet network model is, in contrast to econometric forecast combinations, a non-parametric prediction technique which does not make any distributional assumptions regarding the underlying input variables. Both methods can be used as forecasting tools in portfolio investment management, asset valuation, IT security and integrated business risk intelligence in volatile market conditions.
Opis fizyczny
  • Department of Control Systems Engineering, Gdańsk University of Technology, ul. Narutowicza 11/12, 80-952 Gdańsk, Poland
  • Department of Electronic, Electrical and Systems Engineering, University of Birmingham, Edgbaston, Birmingham B15 2TT, UK
  • Department of Control Systems Engineering, Gdańsk University of Technology, ul. Narutowicza 11/12, 80-952 Gdańsk, Poland
  • PGE Polish Energy Group, ul. Mysia 2, 00-496 Warsaw, Poland
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