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Title: Exchange-rate forecasts with simultaneous nearest-neighbour methods: vidence from the EMS
Authors: Fernández Rodríguez, Fernando 
Sosvilla Rivero,Simón Javier 
Andrada Félix, Julián 
UNESCO Clasification: 5302 Econometría
530401 Consumo, ahorro, inversión
Keywords: Bosla de valores
Modelos económetricos
Issue Date: 1999
Publisher: 0169-2070
Journal: International Journal of Forecasting 
Abstract: In this paper we extend nearest-neighbour predictors to allow for information content in a wider set of simultaneous time series. We apply these simultaneous nearest-neighbour (SNN) predictors to nine EMS currencies, using daily data for the 1st January 1978-31st December 1994 period. When forecasting performance is measured by Theil's U statistic, the (nonlinear) SNN predictors perform marginally better than both a random walk and the traditional (linear) ARIMA predictors. Furthermore, the SNN predictors outperform the random walk and the ARIMA models when producing directional forecasts.When formally testing for forecast accuracy, in most of the cases the SNN predictor outperforms the random walk at the 1% significance level, while outperforming the ARIMA model in three of the nine cases. On the other hand, our results suggest that the probability of correctly predicting the sign of change is higher for the SNN predictions than the ARIMA case.
ISSN: 0169-2070
DOI: 10.1016/S0169-2070(99)00003-5
Source: International Journal of Forecasting[ISSN 0169-2070],v. 15, p. 383-392
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