Forecasting exchange rate returns is of great interest to both academics and practitioners. In this study, we forecast daily exchange rate returns of six widely traded currencies using combination and dimensionality reduction methods. We propose a hybrid iterated combination with constrained predictor approach. In addition, we examine the impact of positivity constraints on the forecasting ability of each method. Our results indicate that the proposed hybrid method outperforms the simple linear bivariate method and both the iterated combination and the predictor constrained approaches. Positivity constraints significantly improve the forecasting ability of all methods.

中文翻译：

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预测汇率：迭代组合约束预测方法

预测汇率回报对于学者和实践者来说都非常感兴趣。在本研究中，我们使用组合和降维方法来预测六种广泛交易的货币的每日汇率回报。我们提出了一种具有约束预测器方法的混合迭代组合。此外，我们还研究了积极约束对每种方法预测能力的影响。我们的结果表明，所提出的混合方法优于简单线性二变量方法以及迭代组合和预测器约束方法。正约束显着提高了所有方法的预测能力。