Diagnosis of predictive power for exchange rate prediction techniques

Authors

  • Fidel de la Oliva de Con University of Havana
  • Reinaldo Molina Fernández University of Havana

Keywords:

technical analysis, correction coefficient, diagnosis, stationarity, heteroscedasticity, predictive power

Abstract

The prediction of the exchange rate has been an important topic in the literature related to finance from the analysis of various theories that include monetary, technical and statistical-econometric models. Achieving a prediction as effective as possible is a task of high complexity due to the high degree of dispersion of the exchange rate. Therefore, the main objective of this research is to diagnose the predictive power of a set of techniques for predicting the exchange rate. The main result of this study is the calculation of the correction coefficient from the volatilities thrown by the ex post analysis to correct the future forecasts of the variable under study.

Author Biographies

Fidel de la Oliva de Con, University of Havana

Doctor en Ciencias Económicas (2001), Master en Finanzas (1997) y Profesor Titular de la Universidad de la Habana con 30 años de experiencia en docencia e investigaciones. Tiene formación posgraduada en Suiza y España. Coordinador del programa de Doctorado en Ciencias Contables y Financieras de esta universidad (2014), vicedecano de la Facultad de Contabilidad y Finanzas (2011-2017), vicepresidente de la Comisión Nacional de la Carrera homónima (2011), Presidente del Consejo Científico de la Facultad (2002-2018), nominado a Académico Titular de la Academia de Ciencias de Cuba (2018). Ha impartido docencia, conducido investigaciones o desarrollado trabajos de consultoría en varias universidades y organizaciones de Cuba, Ecuador, Bolivia, Haití y Martinica. Es consultor del Programa de Naciones Unidas para el Desarrollo (PNUD).

Reinaldo Molina Fernández, University of Havana

Licenciado en Contabilidad y Finanzas (2019). Profesor de Finanzas de la Facultad de Contabilidad y Finanzas.

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Published

30-12-2019

How to Cite

de la Oliva de Con, F., & Molina Fernández, R. (2019). Diagnosis of predictive power for exchange rate prediction techniques. Cuban Magazine of Finance and Prices, 3(4), 50–61. Retrieved from https://www.mfp.gob.cu/revista/index.php/RCFP/article/view/06_V3N42019_FOCyRMF

Issue

Vol. 3 No. 4 (2019): octubre - diciembre

Section

Research articles

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