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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 | 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 (7), p. 441-444, (Enero 1997) |
| Appears in Collections: | Artículos |
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