Table 8 Comparison of Diebold–Mariano test results.
From: Quantum Monte Carlo simulations for estimating FOREX markets: a speculative attacks experience
N | UIRP model | PPP model | BEER model | SPM model | Taylor model | Speculative attacks model | Speculative attacks’ SG model | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
In-sample | Out-of sample | In-sample | Out-of Sample | In-sample | Out-of sample | In-sample | Out-of sample | In-sample | Out-of sample | In-sample | Out-of sample | In-sample | Out-of sample | ||
200 | MCMC vs. SMC | −2.41 | −2.46 | −2.42 | −2.23 | −2.48 | −2.54 | −2.49 | −2.30 | −2.56 | −2.62 | −2.33 | −2.33 | −2.35 | −2.36 |
MCMC vs. AFQMC | −2.59 | −2.65 | −2.65 | −2.42 | −2.68 | −2.74 | −2.74 | −2.49 | −2.76 | −2.83 | −2.52 | −2.51 | −2.55 | −2.61 | |
SMC vs. AFQMC | −2.55 | −2.60 | −2.74 | −2.49 | −2.63 | −2.69 | −2.82 | −2.57 | −2.72 | −2.77 | −2.45 | −2.31 | −2.53 | −2.34 | |
500 | MCMC vs. SMC | −2.35 | −2.41 | −2.54 | −2.22 | −2.43 | −2.48 | −2.62 | −2.29 | −2.51 | −2.56 | −2.53 | −2.50 | −2.59 | −2.51 |
MCMC vs. AFQMC | −2.65 | −2.72 | −2.68 | −2.55 | −2.74 | −2.80 | −2.77 | −2.63 | −2.83 | −2.89 | −2.54 | −2.53 | −2.63 | −2.56 | |
SMC vs. AFQMC | −2.56 | −2.61 | −2.75 | −2.75 | −2.64 | −2.70 | −2.83 | −2.83 | −2.73 | −2.78 | −2.70 | −2.63 | −2.80 | −2.65 | |
