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Nonlinear deterministic forecasting of daily dollar exchange rates

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  • Cao, Liangyue
  • Soofi, Abdol S.

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  • Cao, Liangyue & Soofi, Abdol S., 1999. "Nonlinear deterministic forecasting of daily dollar exchange rates," International Journal of Forecasting, Elsevier, vol. 15(4), pages 421-430, October.
    • Handle: RePEc:eee:intfor:v:15:y:1999:i:4:p:421-430
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    1. 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.
    2. 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.
    3. Mizrach, B, 1992. "Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 151-163, Suppl. De.
    4. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May.
    5. Aydin Cecen, A. & Erkal, Cahit, 1996. "Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns: Further evidence," Economics Letters, Elsevier, vol. 51(3), pages 323-329, June.
    6. Soofi, Abdol S. & Cao, Liangyue, 1999. "Nonlinear deterministic forecasting of daily Peseta-Dollar exchange rate," Economics Letters, Elsevier, vol. 62(2), pages 175-180, February.
    7. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
    8. P. Embrechts & R. Grübel & S. M. Pitts, 1993. "Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 47(1), pages 59-75, March.
    9. Lisi, Francesco & Medio, Alfredo, 1997. "Is a random walk the best exchange rate predictor?," International Journal of Forecasting, Elsevier, vol. 13(2), pages 255-267, June.
    10. Cecen, A. Aydin & Erkal, Cahit, 1996. "Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?," International Journal of Forecasting, Elsevier, vol. 12(4), pages 465-473, December.
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    3. Michael Funke & Marc Gronwald, 2008. "The Undisclosed Renminbi Basket: Are the Markets Telling Us Something about Where the Renminbi–US Dollar Exchange Rate is Going?," The World Economy, Wiley Blackwell, vol. 31(12), pages 1581-1598, December.
    4. Georgios N. Banavas & Sue Denham & Michael J. Denham, 2000. "Fast Nonlinear Deterministic Forecasting Of Segmented Stock Indices Using Pattern Matching And Embedding Techniques," Computing in Economics and Finance 2000 64, Society for Computational Economics.
    5. Bajo-Rubio, Oscar & Sosvilla-Rivero, Simon & Fernandez-Rodriguez, Fernando, 2001. "Asymmetry in the EMS: New evidence based on non-linear forecasts," European Economic Review, Elsevier, vol. 45(3), pages 451-473, March.
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    7. Chun-Teck Lye & Tze-Haw Chan & Chee-Wooi Hooy, 2012. "Nonlinear Analysis Of Chinese And Malaysian Exchange Rates Predictability With Monetary Fundamentals," Journal of Global Business and Economics, Global Research Agency, vol. 5(1), pages 38-49, July.
    8. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated". "Nearest-Neighbour Predictions in Foreign Exchange Markets," Working Papers 2002-05, FEDEA.
    9. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    10. Olmedo,E. & Velasco, F. & Valderas, J.M., 2007. "Caracterización no lineal y predicción no paramétrica en el IBEX35/Nonlinear Characterization and Predictions of IBEX 35," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 25, pages 815-842, Diciembre.
    11. Michael Funke & Marc Gronwald, 2008. "The Undisclosed Renminbi Basket: Are the Markets Telling Us Something about Where the Renminbi–US Dollar Exchange Rate is Going?," The World Economy, Wiley Blackwell, vol. 31(12), pages 1581-1598, December.
    12. Kyrtsou, Catherine & Terraza, Michel, 2002. "Stochastic chaos or ARCH effects in stock series?: A comparative study," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 407-431.
    13. Strozzi, Fernanda & Comenges, José-Manuel Zaldívar, 2006. "Towards a non-linear trading strategy for financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 28(3), pages 601-615.
    14. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    15. Bordignon, Silvano & Lisi, Francesco, 2001. "Predictive accuracy for chaotic economic models," Economics Letters, Elsevier, vol. 70(1), pages 51-58, January.
    16. Belaire-Franch, Jorge, 2004. "Testing for non-linearity in an artificial financial market: a recurrence quantification approach," Journal of Economic Behavior & Organization, Elsevier, vol. 54(4), pages 483-494, August.
    17. Muruganandam, Paulsamy & Francisco, Gerson & de Menezes, Marcio & Ferreira, Fernando F., 2009. "Low dimensional behavior in three-dimensional coupled map lattices," Chaos, Solitons & Fractals, Elsevier, vol. 41(2), pages 997-1004.
    18. Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, vol. 83(Mar), pages 39-49.
    19. Kück, Mirko & Freitag, Michael, 2021. "Forecasting of customer demands for production planning by local k-nearest neighbor models," International Journal of Production Economics, Elsevier, vol. 231(C).
    20. Chun-Teck Lye & Tze-Haw Chan & Chee-Wooi Hooy, 2011. "Nonlinear prediction of Malaysian exchange rate with monetary fundamentals," Economics Bulletin, AccessEcon, vol. 31(3), pages 1960-1967.
    21. Strozzi, Fernanda & Zaldívar, José-Manuel & Zbilut, Joseph P., 2007. "Recurrence quantification analysis and state space divergence reconstruction for financial time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 487-499.
    22. Qin, Quande & Xie, Kangqiang & He, Huangda & Li, Li & Chu, Xianghua & Wei, Yi-Ming & Wu, Teresa, 2019. "An effective and robust decomposition-ensemble energy price forecasting paradigm with local linear prediction," Energy Economics, Elsevier, vol. 83(C), pages 402-414.
    23. A. C. -L. Chian & E. L. Rempel & C. Rogers, 2007. "Crisis-induced intermittency in non-linear economic cycles," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 211-218.
    24. Marcos Álvarez-Díaz & Rangan Gupta, 2015. "Forecasting the US CPI: Does Nonlinearity Matter?," Working Papers 201512, University of Pretoria, Department of Economics.

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