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Exchange-rate forecasts with simultaneous nearest-neighbour methods: evidence from the EMS

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  • Fernandez-Rodriguez, Fernando
  • Sosvilla-Rivero, Simon
  • Andrada-Felix, Julian

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 15 (1999)
Issue (Month): 4 (October)
Pages: 383-392

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Handle: RePEc:eee:intfor:v:15:y:1999:i:4:p:383-392

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

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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. Boothe, Paul & Glassman, Debra, 1987. "Comparing exchange rate forecasting models : Accuracy versus profitability," International Journal of Forecasting, Elsevier, vol. 3(1), pages 65-79.
  3. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  4. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July.
  5. De Grauwe, Paul, 1990. "Deterministic Chaos in the Foreign Exchange Markets," CEPR Discussion Papers 370, C.E.P.R. Discussion Papers.
  6. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
  7. Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon, 1998. "Testing nonlinear forecastability in time series: Theory and evidence from the EMS," Economics Letters, Elsevier, vol. 59(1), pages 49-63, April.
  8. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May.
  9. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October.
  10. Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-65, October.
  11. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & J. Martín-González., . "Credibility in the EMS: New evidence using nonlinear forecastability tests," Working Papers 97-14, FEDEA.
  12. Mizrach, B, 1992. "Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S151-63, Suppl. De.
  13. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  14. 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.
  15. Wei, Shangjin, 1991. "Price volatility without news about fundamentals," Economics Letters, Elsevier, vol. 37(4), pages 453-458, December.
  16. 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.
  17. Meese, Richard A & Rose, Andrew K, 1990. "Nonlinear, Nonparametric, Nonessential Exchange Rate Estimation," American Economic Review, American Economic Association, vol. 80(2), pages 192-96, May.
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