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 | 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 |
SCOPUSTM
Citations
7
checked on Mar 30, 2025
WEB OF SCIENCETM
Citations
5
checked on Feb 25, 2024
Page view(s)
121
checked on Jun 8, 2024
Google ScholarTM
Check
Altmetric
Share
Export metadata
Items in accedaCRIS are protected by copyright, with all rights reserved, unless otherwise indicated.