Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/48012
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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.accessioned2018-11-23T18:15:37Z-
dc.date.available2018-11-23T18:15:37Z-
dc.date.issued1999en_US
dc.identifier.issn0169-2070en_US
dc.identifier.urihttp://hdl.handle.net/10553/48012-
dc.description.abstractIn 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.en_US
dc.languageengen_US
dc.publisher0169-2070
dc.relation.ispartofInternational Journal of Forecastingen_US
dc.sourceInternational Journal of Forecasting[ISSN 0169-2070],v. 15, p. 383-392en_US
dc.subject5302 Econometríaen_US
dc.subject530401 Consumo, ahorro, inversiónen_US
dc.subject.otherBosla de valoresen_US
dc.subject.otherModelos económetricosen_US
dc.titleExchange-rate forecasts with simultaneous nearest-neighbour methods: vidence from the EMSen_US
dc.typeinfo:eu-repo/semantics/Articleen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/S0169-2070(99)00003-5
dc.identifier.scopus0000560787-
dc.identifier.isi000082945100004
dc.contributor.authorscopusid6603053452-
dc.contributor.authorscopusid6701863324-
dc.contributor.authorscopusid6505916889-
dc.description.lastpage392-
dc.description.firstpage383-
dc.relation.volume15-
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Artículoen_US
dc.contributor.daisngid1514720
dc.contributor.daisngid514725
dc.contributor.daisngid3014920
dc.utils.revisionen_US
dc.contributor.wosstandardWOS:Fernandez-Rodriguez, F
dc.contributor.wosstandardWOS:Sosvilla-Rivero, S
dc.contributor.wosstandardWOS:Andrada-Felix, J
dc.date.coverdateEnero 1999
dc.identifier.ulpgces
dc.description.jcr0,385
dc.description.jcrqQ3
dc.description.ssciSSCI
dc.description.erihplusERIH PLUS
item.grantfulltextnone-
item.fulltextSin texto completo-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0002-8808-9286-
crisitem.author.orcid0000-0001-8598-3234-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNameFernández Rodríguez,Fernando Emilio-
crisitem.author.fullNameSosvilla Rivero,Simón Javier-
crisitem.author.fullNameAndrada Félix, Julián-
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