Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/48013
Title: Combining information in exchange rate forecasting: evidence from the EMS
Authors: Fernández Rodríguez, Fernando 
Sosvilla Rivero,Simón Javier 
Andrada Félix, Julián 
UNESCO Clasification: 5302 Econometría
530401 Consumo, ahorro, inversión
Keywords: Bolsa de valores
Modelos econométricos
Issue Date: 1997
Publisher: 1350-4851
Journal: Applied Economics Letters 
Abstract: In this paper we propose a multivariate local predictor, inspired in the literature on deterministic chaos, and apply it to nine EMS currencies, using daily data for the January 1973-December 1994 period. Our local predictors perform marginally better than a random walk in forecasting the nominal exchange rate, clearly outperforming the random walk directional forecast.
URI: http://hdl.handle.net/10553/48013
ISSN: 1350-4851
DOI: 10.1080/135048597355221
Source: Applied Economics Letters[ISSN 1350-4851],v. 4, p. 441-444
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