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Testing nonlinear forecastability in time series: Theory and evidence from the EMS

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  • Fernandez-Rodriguez, Fernando
  • Sosvilla-Rivero, Simon

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 59 (1998)
Issue (Month): 1 (April)
Pages: 49-63

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Handle: RePEc:eee:ecolet:v:59:y:1998:i:1:p:49-63

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
  2. Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance 9411002, EconWPA.
  3. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September.
  4. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  5. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December.
  6. Bong-Chan, Kho, 1996. "Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets," Journal of Financial Economics, Elsevier, vol. 41(2), pages 249-290, June.
  7. Fernando Fernandez-Rodriguez & Simon Sosvilla-Rivero Julian, 1997. "Combining information in exchange rate forecasting: evidence from the EMS," Applied Economics Letters, Taylor & Francis Journals, vol. 4(7), pages 441-444.
  8. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  9. Francis X. Diebold & James M. Nason, 1989. "Nonparametric exchange rate prediction?," Finance and Economics Discussion Series 81, Board of Governors of the Federal Reserve System (U.S.).
  10. Bajo-Rubio, Oscar & Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon, 1992. "Chaotic behaviour in exchange-rate series : First results for the Peseta--U.S. dollar case," Economics Letters, Elsevier, vol. 39(2), pages 207-211, June.
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Citations

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Cited by:
  1. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, 2000. "Technical Analysis In Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules," Working Papers 00-02, Asociación Española de Economía y Finanzas Internacionales.
  2. Jorge Perez-Rodriguez & Salvador Torra & Julian Andrada-Felix, 2005. "Are Spanish Ibex35 stock future index returns forecasted with non-linear models?," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 963-975.
  3. Amos Golan & Jeffrey M. Perloff, 2004. "Superior Forecasts of the U.S. Unemployment Rate Using a Nonparametric Method," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 433-438, February.
  4. Agnon, Yehuda & Golan, Amos & Shearer, Matthew, 1999. "Nonparametric, nonlinear, short-term forecasting: theory and evidence for nonlinearities in the commodity markets," Economics Letters, Elsevier, vol. 65(3), pages 293-299, December.
  5. Marcos Álvarez-Díaz & Alberto Álvarez, 2003. "Predicción No-Lineal De Tipos De Cambio: Algoritmos Genéticos, Redes Neuronales Y Fusión De Datos," Working Papers 0301, Universidade de Vigo, Departamento de Economía Aplicada.
  6. Theodore Panagiotidis, 2010. "An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application," Working Paper Series 20_10, The Rimini Centre for Economic Analysis.
  7. Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon & Andrada-Felix, Julian, 1999. "Exchange-rate forecasts with simultaneous nearest-neighbour methods: evidence from the EMS," International Journal of Forecasting, Elsevier, vol. 15(4), pages 383-392, October.
  8. F. FernAndez-RodrIguez & S. Sosvilla-Rivero & J. Andrada-FElix, 2003. "Technical analysis in foreign exchange markets: evidence from the EMS," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 113-122.
  9. Marcos Álvarez-Díaz & Alberto Álvarez, 2002. "Predicción No-Lineal De Tipos De Cambio: Algoritmos Genéticos, Redes Neuronales Y Fusión De Datos," Working Papers 0205, Universidade de Vigo, Departamento de Economía Aplicada.
  10. Marcos Álvarez-Díaz & Lucy Amigo Dobaño, 2003. "Métodos No-Lineales De Predicción En El Mercado De Valores Tecnológicos En España. Una Verificación De La Hipótesis Débil De Eficiencia," Working Papers 0303, Universidade de Vigo, Departamento de Economía Aplicada.

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