Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/48009
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dc.contributor.authorFernández Rodríguez, Fernandoen_US
dc.contributor.authorSosvilla Rivero,Simón Javieren_US
dc.contributor.authorAndrada Félix, Juliánen_US
dc.date.accessioned2018-11-23T18:14:17Z-
dc.date.available2018-11-23T18:14:17Z-
dc.date.issued2003en_US
dc.identifier.issn0960-3107en_US
dc.identifier.urihttp://hdl.handle.net/10553/48009-
dc.description.abstractThis article assesses the economic significance of the non-linear predictability of EMS exchange rates. To that end, and using daily data for nine EMS currencies covering the 1 January 1978-31 December 1994 period, it considers nearest- neighbour non-linear predictors, transforming their forecasts into a technical trading rule, whose profitability has been evaluated against the traditional moving average trading rules, considering both interest rates and transaction costs. The results suggest that in most cases, a trading rule based on a non-linear predictor outperforms the moving average, both in terms of returns and in terms of the ideal profit and the Sharpe ratio profitability indicators.en_US
dc.languageengen_US
dc.publisher0960-3107
dc.relation.ispartofApplied Financial Economicsen_US
dc.sourceApplied Financial Economics[ISSN 0960-3107],v. 13, p. 113-122en_US
dc.subject5302 Econometríaen_US
dc.subject.otherAnálisis de series temporalesen_US
dc.subject.otherMercados internacionalesen_US
dc.titleTechnical analysis in foreign exchange markets: evidence from the EMSen_US
dc.typeinfo:eu-repo/semantics/Articleen_US
dc.typeArticleen_US
dc.identifier.doi10.1080/09603100210100891
dc.identifier.scopus0345988883-
dc.contributor.authorscopusid6603053452-
dc.contributor.authorscopusid6701863324-
dc.contributor.authorscopusid6505916889-
dc.description.lastpage122-
dc.description.firstpage113-
dc.relation.volume13-
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Artículoen_US
dc.utils.revisionen_US
dc.date.coverdateFebrero 2003
dc.identifier.ulpgces
item.fulltextSin texto completo-
item.grantfulltextnone-
crisitem.author.deptFinanzas Cuantitativas y Computacionales-
crisitem.author.deptMétodos Cuantitativos en Economía y Gestión-
crisitem.author.deptFinanzas Cuantitativas y Computacionales-
crisitem.author.deptMétodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0002-8808-9286-
crisitem.author.orcid0000-0001-8598-3234-
crisitem.author.parentorgMétodos Cuantitativos en Economía y Gestión-
crisitem.author.parentorgMétodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNameFernández Rodríguez, Fernando-
crisitem.author.fullNameSosvilla Rivero,Simón Javier-
crisitem.author.fullNameAndrada Félix, Julián-
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