讲座题目：Too indecisive? Model Averaging in Exchange Rate Prediction
内容摘要：The lack of robustness in forecasting exchange rates has been explained in the literature as reflecting the potential instability of model performance. In this paper, we address model uncertainty by optimally combining the forecasts of several fundamental models according to the Mallows model averaging method proposed in Hansen (2007) and Liu (2015). Empirically, we apply this method to major exchange rates and find that our approach outperforms the random walk model with or without drift at a monthly frequency. Moreover, we reveal the underlying reason for why fundamental models cannot outperform random walk models in exchange rate prediction. Furthermore, the currency forecasts generate meaningful investment profits based on our approach.
主讲人简介：任宇，中南财经政法大学文澜学院教授，湖北省“楚天学者”特聘教授。2008年毕业于加拿大女皇大学经济学专业，获得经济学博士学位。研究方向为资产定价及金融计量。主要研究成果发表于：Journal of Banking and Finance, Journal of Empirical Finance, Econometric Theory, Quantitative Finance等国际知名金融学术期刊。